EXPECTATION‐MAXIMIZATION ALGORITHMS AND THE ESTIMATION OF TIME SERIES MODELS IN THE PRESENCE OF OUTLIERS

DOI10.1111/J.1467-9892.1993.TB00140.XMaRDI QIDQ5285830zbMATH OpenOpenAlexFDO

Authors Bovas Abraham, Alice Z. Chuang

Publication date 29 June 1993

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

Full work available at URL https://doi.org/10.1111/j.1467-9892.1993.tb00140.x

zbMATH Keywords

outliersEM algorithmexpectation-maximization algorithmtime seriesapproximationAR modelaberrant observationsaberrant innovationsAI outlierAO outlierautoregressive moving- average \((\text{ARMA}(p,q))\) model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

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Cites work

• scientific article; zbMATH DE number 3942860 (Why is no real title available?)
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• Bayesian analysis of some outlier problems in time series
• Mixture Models, Outliers, and the EM Algorithm
• Outlier Detection and Time Series Modeling

Cited in

(9)

• Empirical likelihood for outlier detection and estimation in autoregressive time series
• A test for additive outliers applicable to long-memory time series
• George Box's contributions to time series analysis and forecasting
• Outliers in Time Series: An Empirical Likelihood Approach
• Monitoring abrupt changes in satellite time series by seasonal confidence interval of regression residuals
• Innovational Outliers in INAR(1) Models
• Additive outliers in INAR(1) models
• Outlier detection in ARMA models
• Binomial AR(1) processes with innovational outliers

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