Bias correction for outlier estimation in time series

DOI10.1016/J.JSPI.2005.04.002zbMATH Open1103.62081OpenAlexW2002100622MaRDI QIDQ2500646FDOQ2500646

Authors: Francesco Battaglia 

Publication date: 17 August 2006

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2005.04.002

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zbMATH Keywords

autoregressive processlinear processadditive outlierinnovation outliernon-stationary series

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• Asymptotically efficient selection of the order of the model for estimating parameters of a linear process
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• Consistency properties of least squares estimates of autoregressive parameters in ARMA models
• Consistent autoregressive spectral estimates
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• Title not available (Why is that?)
• Outliers in multivariate time series
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• Bayesian analysis of some outlier problems in time series
• Robust Estimation of the First-Order Autoregressive Parameter
• The Inverse Autocorrelations of a Time Series and Their Applications
• BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER
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• ON THE ESTIMATION OF THE INVERSE CORRELATION FUNCTION
• LINEAR INTERPOLATORS AND THE INVERSE CORRELATION FUNCTION OF NON‐STATIONARY TIME SERIES
• Parameter estimation of autoregressive integrated processes by least squares
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Cited In (3)

• Resampling-based bias-corrected time series prediction
• A Particle Filtering Scheme for Processing Time Series Corrupted by Outliers
• Outlier detection in ARMA models

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