LEAVE-K -OUT DIAGNOSTICS IN STATE-SPACE MODELS

DOI10.1111/1467-9892.00304MaRDI QIDQ3440786zbMATH OpenOpenAlexFDO

Authors Tommaso Proietti

Publication date 29 May 2007

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL http://edoc.hu-berlin.de/18452/4047

zbMATH Keywords

outliersKalman filtersmoothingnonstationary state-space model

Mathematics Subject Classification ID

Diagnostics, and linear inference and regression (62J20) Linear inference, regression (62J99) Inference from spatial processes (62M30)

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Cites work

• scientific article; zbMATH DE number 3899977 (Why is no real title available?)
• scientific article; zbMATH DE number 3932235 (Why is no real title available?)
• Detecting shocks: Outliers and breaks in time series

Cited in

(7)

• Combining Bayesian method and Kalman smoother for detection additive outlier patches in autoregressive time series
• Assessing influence in Gaussian long-memory models
• An outlier detection scheme for dynamical sequential datasets
• Signal extraction and filtering by linear semiparametric methods
• Outlier identifiability in time series
• State space models for time series with patches of unusual observations
• scientific article; zbMATH DE number 4147359 (Why is no real title available?)

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