Outlier detection in the state space model

DOI10.1016/0167-7152(94)90030-2MaRDI QIDQ1332874zbMATH OpenOpenAlexFDO

Authors Siddhartha Chib, Ram C. Tiwari

Publication date 5 September 1994

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-7152(94)90030-2

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Cites work

• A Bayesian approach to outlier detection and residual analysis
• Bayesian Analysis of Regression Error Terms
• Bayesian forecasting and dynamic models
• Bayesian regression diagnostics with applications to international consumption and income data
• Bayesian residual analysis in the presence of censoring
• Covariances for smoothed estimates in state space models
• scientific article; zbMATH DE number 4176294 (Why is no real title available?)
• scientific article; zbMATH DE number 3727458 (Why is no real title available?)

Cited in

(2)

• Bayes inference in the Tobit censored regression model
• Bayesian approach to outlier detection in multivariate normal samples and linear models

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