Outlier detection and estimation in nonlinear time series

Journal of Time Series Analysis

Volumn 26, Issue 1, 2005, Pages 107-121

  Battaglia, Francesco ^a   Orfei, Lia ^a  

^a SAPIENZA UNIVERSITY OF ROME   (Italy)

Author keywords

Bilinear models; Exponential autoregressive models; Outliers; Self exciting threshold autoregressive models; State dependent models; Sunspot numbers

Indexed keywords

EID: 12444278930     PISSN: 01439782     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2005.00392.x     Document Type: Article

References (29)

1. ABRAHAM, B. and Box, G. E. P. (1979) Bayesian analysis of some outlier problems in time series. Biometrika 66, 229-36.
2. BARNETT, G., KOHN, R. and SHEATHER S. (1996) Bayesian estimation of an autoregressive model using Markov chain Monte Carlo. Journal of Econometrics 74, 237-54.
3. BEVERIDGE S. (1992) Least square estimation of missing values in time series. Communications in Statistics - Theory and Methods 21, 3479-96.
4. Box, G. E. P. and TIAO, G. C. (1975) Intervention analysis with application to environmental and economic problems. Journal of the American Statistical Association 70, 70-9.
5. CHAN, W. S. (1995) Understanding the effect of time series outliers on sample autocorrelation. Test 4, 179-86.
6. CHAN, W. S. and CHEUNG, S. H. (1994) On robust estimation of threshold autoregressions. Journal of Forecasting 13, 37-49.
7. CHANG, I., TIAO, G. C. and CHEN, C. (1988) Estimation of time series parameters in the presence of outliers. Technometrics 30, 193-204.
8. CHEN, C. (1997) Detection of additive outliers in bilinear time series. Computational Statistics and Data Analysis 24, 283-94.
9. CHEN, C. and Liu, L. M. (1993a) Forecasting time series with outliers. Journal of Forecasting 12, 13-35.
10. CHEN, C. and Liu, L. M. (1993b) Joint estimation of model parameters and outlier effects in time series. Journal of the American Statistical Association 88, 284-97.
11. DEUTSCH, S. J., RICHARDS, J. E. and SWAIN, J. J. (1990) Effects of a single outlier on ARMA identification. Communications in Statistics - Theory and Methods 19, 2207-27.
12. VAN DIJK, D., FRANSES, P. H. and LUCAS, A. (1999) Testing for ARCH in the presence of additive outliers. Journal of Applied Econometrics 14, 539-62.
13. Fox, A. J. (1972) Outliers in time series. Journal of the Royal Statistical Society Series B 34, 350-63.
14. GABR, M. M. (1998) Robust estimation of bilinear time series models. Communications in Statistics Theory and Methods 27, 41-53.
15. GABR, M. M. and SUBBA RAO, T. (1981) The estimation and prediction of subset bilinear time series models with applications. Journal of Time Series Analysis 2, 155-71.
16. HAGGAN, V. and OZAKI, T. (1981) Modelling nonlinear random vibrations using an ampitude-dependent autoregressive time series model. Biometrika 68, 189-96.
17. LEDOLTER, J. (1989) The effect of additive outliers on the forecasts from ARMA models. International Journal of Forecasting 5, 231-40.
18. Liu, L. and HUDAK, G. B. (1992) Forecasting and Time Series Analysis using the SCA Statistical System. Oak Brook, IL: Scientific Computing Associates.
19. LJUNG, G. M. (1989) A note on the estimation of missing values in time series. Communications in Statistics - Simulation Computation 18, 459-65.
20. LJUNG, G. M. (1993) On outlier detection in time series. Journal of the Royal Statistical Society Series B 55, 559-67.
21. McCuLLOCH, R. E. and TSAY, R. S. (1994) Bayesian analysis of autoregressive time series via the Gibbs sampler. Journal of Time Series Analysis 15, 235-50.
22. PEÑA, D. (1990) Influential observations in time series. Journal of Business and Economic Statistics 8, 235-41.
23. PEÑA, D. and MARAVALL, A. (1991) Interpolations, outliers and inverse autocorrelations. Communications in Statistics - Theory and Methods 20, 3175-86.
24. PRIESTLEY, M. B. (1981) Spectral Analysis and Time Series. London: Academic Press.
25. PRIESTLEY, M. B. (1988) Non-linear and Non-stationary Time Series Analysis. London: Academic Press.
26. SMITH, A. F. M. and WEST, M. (1983) Monitoring renal transplants: an application of the multiprocess Kaiman filter. Biometrics 39, 867-78.
27. TONG, H. and LIM, K. S. (1980) Threshold autoregressive, limit cycles and cyclical data. Journal of the Royal Statistical Society Series B 42, 245-92.
28. TSAY, R. S. (1986) Time series model specification in the presence of outliers. Journal of the American Statistical Association 81, 131-41.
29. TSAY, R. S. (1988) Outliers, level shifts and variance changes in time series. Journal of Forecasting 7, 1-20.