Testing for outliers in time series using wavelets

MaRDI QIDQ1433519zbMATH OpenFDO

Authors D. Massart, Tong Zhang, Xibin Zhang, Shi-ying Zhang

Publication date 18 June 2004

Published in Journal of Systems Science and Complexity (Search for Journal in Brave)

zbMATH Keywords

exchange rateswavelet coefficientswavelet decomposition

Mathematics Subject Classification ID

Nontrigonometric harmonic analysis involving wavelets and other special systems (42C40) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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• Outlier detection for stationary time series

Cited in

(2)

• Wavelet-based detection of outliers in financial time series
• Wavelet transform asymmetric Winsorized mean in detecting outlier values

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