Analytical Bayes estimator and distribution for outlier infested time series data

DOI10.1080/15598608.2008.10411891zbMATH Open1211.62050OpenAlexW1999313870MaRDI QIDQ2431701FDOQ2431701

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

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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)

Cites Work

• Title not available (Why is that?)
• Bayesian methods for change-point detection in long-range dependent processes
• Robust estimation and outlier detection with correlation coefficients
• Bayesian analysis of some outlier problems in time series
• Title not available (Why is that?)

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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