Outliers Detection in Multivariate Time Series by Independent Component Analysis

DOI10.1162/NECO.2007.19.7.1962MaRDI QIDQ5457593zbMATH OpenOpenAlexWikidataFDO

Authors Roberto Baragona, Francesco Battaglia

Publication date 14 April 2008

Published in Neural Computation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1162/neco.2007.19.7.1962

Mathematics Subject Classification ID

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

Recommendations

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Cites work

• Determining the Number of Factors in Approximate Factor Models
• Forecasting Using Principal Components From a Large Number of Predictors
• Intervention analysis and multiple time series
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
• Outliers in multivariate time series

Cited in

(12)

• Weight least squares algorithm for rational models with outliers
• Exact variable-length anomaly detection algorithm for univariate and multivariate time series
• Outliers in multivariate time series
• scientific article; zbMATH DE number 6951453 (Why is no real title available?)
• scientific article; zbMATH DE number 6960658 (Why is no real title available?)
• A locally optimal algorithm for estimating a generating partition from an observed time series and its application to anomaly detection
• Robust network structure reconstruction based on Bayesian compressive sensing
• The Effect of Outliers in Independent Component Analysis
• A mixture‐distribution factor model for multivariate outliers
• Outlier Detection in Multivariate Time Series by Projection Pursuit
• Outlier identifiability in time series
• New independent component analysis tools for time series

Describes a project that uses

Uses Software

• EEGLAB

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