Outliers Detection in Multivariate Time Series by Independent Component Analysis

DOI10.1162/neco.2007.19.7.1962OpenAlexW2171778903WikidataQ40210403 ScholiaQ40210403MaRDI QIDQ5457593

Roberto Baragona, Francesco Battaglia

Publication date: 14 April 2008

Published in: Neural Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1162/neco.2007.19.7.1962

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Related Items (4)

Weight least squares algorithm for rational models with outliers ⋮ A Locally Optimal Algorithm for Estimating a Generating Partition from an Observed Time Series and Its Application to Anomaly Detection ⋮ Exact variable-length anomaly detection algorithm for univariate and multivariate time series ⋮ Robust network structure reconstruction based on Bayesian compressive sensing

Uses Software

• EEGLAB

Cites Work

• Outliers in multivariate time series
• Intervention analysis and multiple time series
• Let's Get Real: A Factor Analytical Approach to Disaggregated Business Cycle Dynamics
• Forecasting Using Principal Components From a Large Number of Predictors
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• Determining the Number of Factors in Approximate Factor Models

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