State space models for time series with patches of unusual observations

Journal of Time Series Analysis

Volumn 28, Issue 5, 2007, Pages 629-645

  Penzer, Jeremy ^a  

^a LONDON SCHOOL OF ECONOMICS   (United Kingdom)

Author keywords

Kalman filter; Leave k out; Outliers; Shock detection; Smoothing

Indexed keywords

EID: 34547828089     PISSN: 01439782     EISSN: 14679892     Source Type: Journal    
DOI: 10.1111/j.1467-9892.2007.00525.x     Document Type: Article

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