The Multiple Outlier Problem in Time Series Analysis

DOI10.1111/J.1467-842X.1986.TB00711.XMaRDI QIDQ3746738zbMATH OpenFDO

Authors Wolfgang Schmid

Publication date 1986

Published in Australian Journal of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/J.1467-842X.1986.TB00711.X

zbMATH Keywords

asymptotic distributionautoregressive processconditional least-squares estimatorconsistencygeneral linear hypothesismultiple outlier dataoutlier detection and testingrobustnesstype I outlier

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(11)

• Understanding the effect of time series outliers on sample autocorrelations
• A comparison of several procedures for identifying outliers in contaminated ARMA processes
• A Bayesian approach for identification of additive outlier in \(\mathrm{AR}(\mathrm{p})\) model
• Analytical Bayes estimator and distribution for outlier infested time series data
• Estimation and detection of outliers and patches in ARMAX time series models
• Prediction problems related to a first-order autoregressive process in the presence of outliers
• Shrinkage estimation of contemporaneous outliers in concurrent time serie
• Modeling the effects of outliers on the estimation of linear stochastic time series model
• EXPECTATION‐MAXIMIZATION ALGORITHMS AND THE ESTIMATION OF TIME SERIES MODELS IN THE PRESENCE OF OUTLIERS
• Robust estimation of AR coefficients under simultaneously influencing outliers and missing values
• Outliers in a multivariate autoregressive moving-average process

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