scientific article; zbMATH DE number 1327256

MaRDI QIDQ4259406zbMATH OpenFDO

Authors Maria Maddalena Barbieri

Publication date 14 December 1999

zbMATH Keywords

autoregressive time seriesMarkov chain Monte CarloMetropolis-Hastings algorithmstationarity

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40)

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Cited in

(8)

• A Bayesian approach for identification of additive outlier in \(\mathrm{AR}(\mathrm{p})\) model
• Analytical Bayes estimator and distribution for outlier infested time series data
• Estimation and detection of outliers and patches in ARMAX time series models
• Robust Bayesian Model Selection for Autoregressive Processes With Additive Outliers
• Theory & Methods: Pseudo–Modelling of Outliers for Estimation of Regression And Time Series Models
• Combining Bayesian method and Kalman smoother for detection additive outlier patches in autoregressive time series
• Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series
• Genetic algorithms for the identification of additive and innovation outliers in time series

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