Robust Bayesian Model Selection for Autoregressive Processes With Additive Outliers

DOI10.2307/2291388MaRDI QIDQ3128652zbMATH OpenOpenAlexFDO

Authors Nhu D. Le, Adrian E. Raftery, R. Douglas Martin

Publication date 18 September 1997

Full work available at URL https://doi.org/10.2307/2291388

zbMATH Keywords

additive outlierAR(k) modelsLaplace approximationposterior probabilitiespredictive distributionsrobust Bayes factorsrobust filteringrobust likelihoodrobust to outliersspectrum

Mathematics Subject Classification ID

Bayesian inference (62F15) Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(7)

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• Combining Bayesian method and Kalman smoother for detection additive outlier patches in autoregressive time series
• The formation and comparison of robust AR model
• Selecting sub-set autoregressions from outlier contaminated data.
• Simultaneous detection of structural breaks and outliers in time series

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