A practical method for outlier detection in autoregressive time series modelling

DOI10.1007/BF01543459MaRDI QIDQ911203zbMATH OpenFDO

Authors M. C. Hau, Howell Tong

Publication date 1989

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

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)

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Cites work

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• Infinitesimal robustness for autoregressive processes
• On the Statistical Treatment of Linear Stochastic Difference Equations
• Robust Statistics
• The Hat Matrix in Regression and ANOVA
• Threshold models in non-linear time series analysis
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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
• scientific article; zbMATH DE number 3999071 (Why is no real title available?)
• Out of control (outlier) detection in business data using the \(\mathrm{ARMA}(1,1)\) model
• A note on the consistency of a robust estimator for threshold autoregressive processes
• Outliers in functional autoregressive time series
• Unsupervised anomaly detection in multivariate time series with online evolving spiking neural networks
• scientific article; zbMATH DE number 6960658 (Why is no real title available?)
• 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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