Synthetic detection of change point and outliers in bilinear time series models

DOI10.1080/00207721.2013.777983MaRDI QIDQ5265599zbMATH OpenOpenAlexFDO

Authors Ping Chen, Jing Yang, Linyuan Li

Publication date 28 July 2015

Published in International Journal of Systems Science. Principles and Applications of Systems and Integration (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/00207721.2013.777983

zbMATH Keywords

outlierstime serieschange pointGibbs samplerdynamic systemsbilinear model

Mathematics Subject Classification ID

Time series analysis of dynamical systems (37M10) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

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Cites work

• BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER
• Delay-dependent stability analysis for discrete-time singular Markovian jump systems with time-varying delay
• Detection of additive outliers in bilinear time series
• Detection of multiple change-points in multivariate time series
• Distributed modal identification using restricted auto regressive models
• Estimating a change point in the long memory parameter
• Gaussian process internal model control
• Identification and verification of chaotic dynamics in a missile system from experimental time series
• Influence Diagnostics and Outlier Tests for Semiparametric Mixed Models
• On the detection of changes in autoregressive time series. I: Asymptotics.
• Outlier Detection And Estimation In NonLinear Time Series
• Parameter Estimation and Subset Selection for Separable lower Triangular Bilinear Models
• Separable lower triangular bilinear model

Cited in

(3)

• Detection of outliers and patches in bilinear time series models
• Robust maximum likelihood estimation for stochastic state space model with observation outliers
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