Retrospective Bayesian outlier detection in INGARCH series

DOI10.1007/s11222-013-9437-xzbMath1332.62321MaRDI QIDQ5962745

Katja Ickstadt, Roland Fried, Inoncent Agueusop, Björn Bornkamp, Konstantinos Fokianos, Jana Fruth

Publication date: 23 February 2016

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11222-013-9437-x

zbMATH Keywords

additive outliers; generalized linear models; time series of counts

Mathematics Subject Classification ID

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

62F15: Bayesian inference

62J12: Generalized linear models (logistic models)

91B84: Economic time series analysis

Uses Software

• R
• WinBUGS
• R2WinBUGS
• BUGS