Analytical Bayes estimator and distribution for outlier infested time series data

DOI10.1080/15598608.2008.10411891MaRDI QIDQ2431701zbMATH OpenOpenAlexFDO

Authors R. Arnab, D. K. Shangodoyin

Publication date 18 April 2011

Published in Journal of Statistical Theory and Practice (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/15598608.2008.10411891

zbMATH Keywords

outlierconditional distributionBayes estimatorgenerating modeltime series realization

Mathematics Subject Classification ID

Point estimation (62F10) Bayesian inference (62F15) Nonparametric estimation (62G05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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• scientific article; zbMATH DE number 1327256
• ROBUST BAYESIAN ESTIMATION OF AUTOREGRESSIVE‐‐MOVING‐AVERAGE MODELS
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Cites work

• scientific article; zbMATH DE number 3990670 (Why is no real title available?)
• scientific article; zbMATH DE number 3565994 (Why is no real title available?)
• Bayesian analysis of some outlier problems in time series
• Bayesian methods for change-point detection in long-range dependent processes
• Robust estimation and outlier detection with correlation coefficients

Cited in

(2)

• Theory & Methods: Pseudo–Modelling of Outliers for Estimation of Regression And Time Series Models
• Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series

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