A BAYESIAN SOLUTION TO THE MULTIPLE OUTLIER PROBLEM IN TIME-SERIES

被引：1

作者：

DIAZ, JQ ^{[1
]}

机构：

[1] UNIV HOUSTON,DEPT DECIS & INFORMAT SCI,HOUSTON,TX 77204

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 1991年 / 20卷 / 01期

关键词：

OUTLIER DETECTION; TIME SERIES; BAYESIAN SOLUTION;

D O I：

10.1080/03610929108830482

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：

In this paper, Bayesian solutions for the multiple outlier problems are proposed for the case in which the undisturbed observations are assumed to be generated by an autoregressive process. The procedures require that the observations considered suspected outliers are previously determined. The tests are based on the marginal or conditional posterior distributions, depending on the particular way in which the disturbances affect the behavior of the series.

引用

页码：45 / 61

页数：17