Outliers in a multivariate autoregressive moving-average process

DOI10.1016/0304-4149(90)90046-UzbMath0703.62094MaRDI QIDQ916291

Wolfgang Schmid

Publication date: 1990

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

zbMATH Keywords

time serieswhite noisemaximum likelihood methodcontaminationgeneral linear hypothesismultivariate ARMA-processoutlier-robust estimationtest of discordancytype I outlier

Mathematics Subject Classification ID

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

Cites Work

• Time series: theory and methods
• The strong consistency of maximum likelihood estimators for ARMA processes
• A central limit theorem for parameter estimation in stationary vector time series and its application to models for a signal observed with noise
• Principal component analysis.
• Outlier Detection and Time Series Modeling
• The Multiple Outlier Problem in Time Series Analysis
• Vector linear time series models
• Vector linear time series models: corrections and extensions
• Bayesian analysis of some outlier problems in time series
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