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

DOI10.1080/00207721.2013.777983zbMATH Open1316.93107OpenAlexW2000361753MaRDI QIDQ5265599FDOQ5265599

Ping Chen, Linyuan Li, Jing Yang

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

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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)

Cites Work

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

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
• Title not available (Why is that?)

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