A practical method for outlier detection in autoregressive time series modelling

DOI10.1007/BF01543459zbMATH Open0697.62087MaRDI QIDQ911203FDOQ911203

Authors: M. C. Hau, Howell Tong 

Publication date: 1989

Published in: Stochastic Hydrology and Hydraulics (Search for Journal in Brave)

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zbMATH Keywords

outlier detectionMahalanobis distanceadditive outliersautoregressive modelsthreshold autoregressionautoregressive modellinghat matrixwater resourcesinfluential datainnovation outliers

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Probabilistic methods, stochastic differential equations (65C99)

Cites Work

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• Robust Statistics
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• The Hat Matrix in Regression and ANOVA
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• Efficient Computing of Regression Diagnostics
• Infinitesimal robustness for autoregressive processes
• On the Statistical Treatment of Linear Stochastic Difference Equations
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• Threshold models in non-linear time series analysis

Cited In (14)

• Combining Bayesian method and Kalman smoother for detection additive outlier patches in autoregressive time series
• Empirical likelihood for outlier detection and estimation in autoregressive time series
• A simple diagnostic method of outlier detection for stationary Gaussian time series
• Outlier detection and time series modelling in stationary time series
• Title not available (Why is that?)
• Out of control (outlier) detection in business data using the \(\mathrm{ARMA}(1,1)\) model
• Outliers in functional autoregressive time series
• A note on the consistency of a robust estimator for threshold autoregressive processes
• Title not available (Why is that?)
• Unsupervised anomaly detection in multivariate time series with online evolving spiking neural networks
• Outlier detection in adaptive functional-coefficient autoregressive models based on extreme value theory
• Time series outlier detection: a new non parametric methodology (washer)
• Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series
• Time series outlier detection based on sliding window prediction

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