Robust Bayesian Model Selection for Autoregressive Processes With Additive Outliers

DOI10.2307/2291388zbMATH Open0870.62071OpenAlexW4242278199MaRDI QIDQ3128652FDOQ3128652

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

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zbMATH Keywords

Laplace approximationspectrumrobust filteringpredictive distributionsrobust likelihoodadditive outlierposterior probabilitiesrobust to outliersAR(k) modelsrobust Bayes factors

Mathematics Subject Classification ID

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

Cited In (6)

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