Outlier Detection And Estimation In NonLinear Time Series

DOI10.1111/j.1467-9892.2005.00392.xzbMath1092.62081OpenAlexW3123364727MaRDI QIDQ5467596

Lia Orfei, Francesco Battaglia

Publication date: 24 May 2006

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

Full work available at URL: https://doi.org/10.1111/j.1467-9892.2005.00392.x

zbMATH Keywords

outlierssunspot numbersbilinear modelsself-exciting threshold autoregressive modelsstate-dependent modelsexponential autoregressive models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

Related Items (8)

A unified approach to nonlinearity, structural change, and outliers ⋮ Unnamed Item ⋮ Outlier detection in ARMA models ⋮ Detection of outliers and patches in bilinear time series models ⋮ Outliers in functional autoregressive time series ⋮ Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series ⋮ Synthetic detection of change point and outliers in bilinear time series models ⋮ Additive Outliers in Open-Loop Threshold Autoregressive Models: A Simulation Study

Cites Work

• Detection of additive outliers in bilinear time series
• Bayesian estimation of an autoregressive model using Markov chain Monte Carlo
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