Outlier Detection in Time Series Models Using Local Influence Method

DOI10.1080/03610926.2011.558664MaRDI QIDQ2920028zbMATH OpenOpenAlexFDO

Authors Lei Shi, Fei Chen, Jun Lu

Publication date 23 October 2012

Published in Communications in Statistics. Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610926.2011.558664

zbMATH Keywords

ARIMA modelinfluential observationsoutliersperturbation schemestepwise local influence analysistime series data

Mathematics Subject Classification ID

Diagnostics, and linear inference and regression (62J20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Conformal Normal Curvature and Assessment of Local Influence
• Leverage, local influence and curvature in nonlinear regression
• Local influence for incomplete-data models
• Local influence in multilevel regression for growth curves
• Local influence in principal components analysis
• Local influence in ridge regression
• Local Influence to Detect Influential Data Structures for Generalized Linear Mixed Models
• Maximum likelihood estimation of parameters of autoregressive processes with moving average residuals and other covariance matrices with linear structure
• Stepwise local influence analysis

Cited in

(17)

• Influence diagnostics in log-linear integer-valued GARCH models
• Local influence analysis in general spatial models
• Bayesian local influence for spatial autoregressive models with heteroscedasticity
• Detection of outlier patches in autoregressive time series
• Local influence in time series analysis
• Estimation and detection of outliers and patches in ARMAX time series models
• Outlier detection and accommodation in general spatial models
• Locality Statistics for Anomaly Detection in Time Series of Graphs
• The Identification of Multiple Outliers in ARIMA Models
• Asymmetric autoregressive models: statistical aspects and a financial application under COVID-19 pandemic
• Stepwise local influence in generalized autoregressive conditional heteroskedasticity models
• Influence diagnostics in a vector autoregressive model
• Local influence analysis for Poisson autoregression with an application to stock transaction data
• Diagnostic analysis for a vector autoregressive model under Student^′s t‐distributions
• A score test for detecting extreme values in a vector autoregressive model
• Robust autoregressive modeling and its diagnostic analytics with a COVID-19 related application
• Diagnostic analytics for a GARCH model under skew-normal distributions

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