The Identification of Multiple Outliers in ARIMA Models

DOI10.1081/STA-120021331zbMath1104.62326MaRDI QIDQ4707037

Daniel Peña, María Jesús Sánchez

Publication date: 4 June 2003

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1081/sta-120021331

Mathematics Subject Classification ID

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

65C05: Monte Carlo methods

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Cites Work

• Missing observations in ARIMA models: Skipping approach versus additive outlier approach
• Outliers in multivariate time series
• Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
• BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER
• Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
• Joint Estimation of Model Parameters and Outlier Effects in Time Series