Outliers in a multivariate autoregressive moving-average process

DOI10.1016/0304-4149(90)90046-UMaRDI QIDQ916291zbMATH OpenFDO

Authors Wolfgang Schmid

Publication date 1990

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0304-4149(90)90046-U

zbMATH Keywords

contaminationgeneral linear hypothesismaximum likelihood methodmultivariate ARMA-processoutlier-robust estimationtest of discordancytime seriestype I outlierwhite noise

Mathematics Subject Classification ID

Parametric hypothesis testing (62F03) Non-Markovian processes: estimation (62M09) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

Recommendations

• The Multiple Outlier Problem in Time Series Analysis
• On outlier detection in multivariate time series
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Cites work

• A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise
• Bayesian analysis of some outlier problems in time series
• scientific article; zbMATH DE number 3898062 (Why is no real title available?)
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• The strong consistency of maximum likelihood estimators for ARMA processes
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Cited in

(5)

• A comparison of several procedures for identifying outliers in contaminated ARMA processes
• Outliers in multivariate time series
• The Multiple Outlier Problem in Time Series Analysis
• scientific article; zbMATH DE number 97750 (Why is no real title available?)
• The Identification of Multiple Outliers in ARIMA Models

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