Outliers in a multivariate autoregressive moving-average process

DOI10.1016/0304-4149(90)90046-UMaRDI QIDQ916291zbMATH OpenFDO

Authors Wolfgang Schmid

Publication date 1990

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

zbMATH Keywords

time seriesmaximum likelihood methodwhite noisecontaminationgeneral linear hypothesismultivariate ARMA-processoutlier-robust estimationtest of discordancytype I outlier

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Recommendations

• The Multiple Outlier Problem in Time Series Analysis
• On outlier detection in multivariate time series
• scientific article; zbMATH DE number 472959
• scientific article; zbMATH DE number 97750
• Outlier detection in ARMA models

Cites work

• scientific article; zbMATH DE number 3898062 (Why is no real title available?)
• scientific article; zbMATH DE number 4041020 (Why is no real title available?)
• scientific article; zbMATH DE number 4086823 (Why is no real title available?)
• scientific article; zbMATH DE number 3655215 (Why is no real title available?)
• scientific article; zbMATH DE number 3894313 (Why is no real title available?)
• scientific article; zbMATH DE number 3283198 (Why is no real title available?)
• scientific article; zbMATH DE number 3395249 (Why is no real title available?)
• A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise
• Bayesian analysis of some outlier problems in time series
• Outlier Detection and Time Series Modeling
• Principal component analysis.
• The Multiple Outlier Problem in Time Series Analysis
• The strong consistency of maximum likelihood estimators for ARMA processes
• Time series: theory and methods
• Vector linear time series models
• Vector linear time series models: corrections and extensions

Cited in

(5)

• The Identification of Multiple Outliers in ARIMA Models
• The Multiple Outlier Problem in Time Series Analysis
• Outliers in multivariate time series
• A comparison of several procedures for identifying outliers in contaminated ARMA processes
• scientific article; zbMATH DE number 97750 (Why is no real title available?)

This page was built for publication: Outliers in a multivariate autoregressive moving-average process

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q916291)