Outliers in functional autoregressive time series

被引：8

作者：

Battaglia, F ^{[1
]}

机构：

[1] Univ Roma La Sapienza, Dipartimento Stat Probabil & Stat Applicate, I-00100 Rome, Italy

来源：

STATISTICS & PROBABILITY LETTERS | 2005年 / 72卷 / 04期

关键词：

additive and innovation outliers; local linear regression; nonlinear models; varying-coefficient models;

D O I：

10.1016/j.spl.2005.02.003

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

A method for identifying and estimating outliers in a time series is proposed, based on fitting functional autoregressive models. Both additive and innovation outliers may be defined. A simulation experiment and the analysis of some real data sets suggest that the proposed method is effective both for series following some nonlinear models, such as self-exciting threshold autoregressive or exponential autoregressive, and for linear series generated by autoregressive moving average processes. © 2005 Elsevier B.V. All rights reserved.

引用

页码：323 / 332

页数：10

共 20 条

[1] Outlier detection and estimation in nonlinear time series [J].

Battaglia, F ;

Orfei, L .

JOURNAL OF TIME SERIES ANALYSIS, 2005, 26 (01) :107-121

[2]

BOX GEP, 1994, TIME SERIES ANAL

[3] Functional-coefficient regression models for nonlinear time series [J].

Cai, ZW ;

Fan, JQ ;

Yao, QW .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 2000, 95 (451) :941-956

[4] Local M-estimator for nonparametric time series [J].

Cai, ZW ;

Ould-Saïd, E .

STATISTICS & PROBABILITY LETTERS, 2003, 65 (04) :433-449

[5] ON ROBUST ESTIMATION OF THRESHOLD AUTOREGRESSIONS [J].

CHAN, WS ;

CHEUNG, SH .

JOURNAL OF FORECASTING, 1994, 13 (01) :37-49

[6] ESTIMATION OF TIME-SERIES PARAMETERS IN THE PRESENCE OF OUTLIERS [J].

CHANG, I ;

TIAO, GC ;

CHEN, C .

TECHNOMETRICS, 1988, 30 (02) :193-204

[7] JOINT ESTIMATION OF MODEL PARAMETERS AND OUTLIER EFFECTS IN TIME-SERIES [J].

CHEN, C ;

LIU, LM .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1993, 88 (421) :284-297

[8] Detection of additive outliers in bilinear time series [J].

Chen, CWS .

COMPUTATIONAL STATISTICS & DATA ANALYSIS, 1997, 24 (03) :283-294

[9] FUNCTIONAL-COEFFICIENT AUTOREGRESSIVE MODELS [J].

CHEN, R ;

TSAY, RS .

JOURNAL OF THE AMERICAN STATISTICAL ASSOCIATION, 1993, 88 (421) :298-308

[10] Nonlinear wavelet estimation of time-varying autoregressive processes [J].

Dahlhaus, R ;

Neumann, MH ;

Von Sachs, R .

BERNOULLI, 1999, 5 (05) :873-906

← 1 2 →