Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series

DOI10.1111/jtsa.12439zbMath1435.62339OpenAlexW2548611966WikidataQ128840740 ScholiaQ128840740MaRDI QIDQ5237523

Isabel M. S. Pereira, Maria Eduarda Silva, B. P. M. McCabe

Publication date: 18 October 2019

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

Full work available at URL: https://hdl.handle.net/10216/119750

zbMATH Keywords

state space modelsadditive outliersMCMCtime series of countsBayesian frameworkconvolution closed infinitely divisible models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Bayesian inference (62F15) Statistics of extreme values; tail inference (62G32)

Related Items

Bayesian inference in a multiple contaminated autoregressive model with trend

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