Outliers in multivariate time series

DOI10.1093/BIOMET/87.4.789zbMATH Open1028.62073OpenAlexW2000145235MaRDI QIDQ2739331FDOQ2739331

Authors: Ruey S. Tsay, Daniel Peña, Alan E. Pankratz 

Publication date: 9 September 2001

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10016/6285

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zbMATH Keywords

level shiftadditive outliertemporary changeinnovational outlier

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15)

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