The Identification of Multiple Outliers in ARIMA Models

DOI10.1081/STA-120021331MaRDI QIDQ4707037zbMATH OpenOpenAlexFDO

Authors María Jesús Sánchez, Daniel Peña

Publication date 4 June 2003

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1081/sta-120021331

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05)

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Cites work

• BAYESIAN ANALYSIS OF AUTOREGRESSIVE TIME SERIES VIA THE GIBBS SAMPLER
• Bayesian Inference and Prediction for Mean and Variance Shifts in Autoregressive Time Series
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• Missing observations in ARIMA models: Skipping approach versus additive outlier approach
• Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models
• Outliers in multivariate time series

Cited in

(15)

• Out of control (outlier) detection in business data using the \(\mathrm{ARMA}(1,1)\) model
• A comparison of several procedures for identifying outliers in contaminated ARMA processes
• Reg-ARIMA model identification: empirical evidence
• Innovational Outliers in INAR(1) Models
• Using Recursive Residuals, Calculated on Adaptively-Ordered Observations, to Identify Outliers in Linear Regression
• Influential observations in cointegrated VAR models: Danish money demand 1973–2003
• Analyzing the effects of level shifts and temporary changes on the identification of ARIMA models
• Analysis of seasonal level shift (SLS) detection in SARIMA models
• scientific article; zbMATH DE number 3999071 (Why is no real title available?)
• Combining Bayesian method and Kalman smoother for detection additive outlier patches in autoregressive time series
• Modeling the effects of outliers on the estimation of linear stochastic time series model
• Comments on: Some recent theory for autoregressive count time series
• Bayesian inference in a multiple contaminated autoregressive model with trend
• Appraisal of excess Kurtosis through outlier-modified GARCH-type models
• Simultaneous detection of structural breaks and outliers in time series

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