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

DOI10.1111/j.1467-9892.1993.tb00140.xzbMath0768.62072OpenAlexW2038142914MaRDI QIDQ5285830

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 algorithmtime seriesapproximationexpectation-maximization algorithmAR 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

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• Outlier Detection and Time Series Modeling
• Mixture Models, Outliers, and the EM Algorithm
• Bayesian analysis of some outlier problems in time series