On outlier detection in multivariate time series

zbMATH Open1176.62084MaRDI QIDQ2390715FDOQ2390715

Authors: Jean-Marie Helbling, Robert Cléroux 

Publication date: 3 August 2009

Published in: Acta Mathematica Vietnamica (Search for Journal in Brave)

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zbMATH Keywords

influence functionsvector autocorrelations

Mathematics Subject Classification ID

Exact distribution theory in statistics (62E15) Multivariate analysis (62H99) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Cited In (34)

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• Detection of outliers and patches in bilinear time series models
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• Outlier detection in adaptive functional-coefficient autoregressive models based on extreme value theory
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• Outliers in a multivariate autoregressive moving-average process
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• OUTLIER DIAGNOSTICS IN TIME SERIES ANALYSIS
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