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

DOI10.1111/J.1467-9892.1993.TB00140.XzbMATH Open0768.62072OpenAlexW2038142914MaRDI QIDQ5285830FDOQ5285830

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

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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)

Cites Work

• Title not available (Why is that?)
• Mixture Models, Outliers, and the EM Algorithm
• Title not available (Why is that?)
• Outlier Detection and Time Series Modeling
• Bayesian analysis of some outlier problems in time series

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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