A practical method for outlier detection in autoregressive time series modelling

DOI10.1007/BF01543459zbMath0697.62087MaRDI QIDQ911203

Howell Tong, M. C. Hau

Publication date: 1989

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

zbMATH Keywords

autoregressive modelsadditive outliersoutlier detectionMahalanobis distancethreshold 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)

Related Items (2)

Unsupervised anomaly detection in multivariate time series with online evolving spiking neural networks ⋮ A note on the consistency of a robust estimator for threshold autoregressive processes

Cites Work

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