LEAVE-K -OUT DIAGNOSTICS IN STATE-SPACE MODELS

DOI10.1111/1467-9892.00304zbMATH Open1115.62104OpenAlexW2079295593MaRDI QIDQ3440786FDOQ3440786

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

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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)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• 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
• State space models for time series with patches of unusual observations
• Assessing influence in Gaussian long-memory models
• Signal extraction and filtering by linear semiparametric methods
• Title not available (Why is that?)
• Outlier identifiability in time series
• An outlier detection scheme for dynamical sequential datasets

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