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Details for article 7 of 23 found articles
| Title: |
Effects of a single outlier on arma identification |
| Author: |
Deutsch, Stuart J. Richards, Jeery E. Swain, James J. |
| Appeared in: |
Communications in statistics |
| Paging: | Volume 19 (1990) nr. 6 pages 2207-2227 |
| Year: |
1990 |
| Contents: |
Fox (1972), Box and Tiao (1975), and Abraham and Box (1979) have proposed methods for detecting outliers in time series whose ARMA form is known (or identified). We show that the existence of a single aberrant observation, innovation, or intervention causes an ARMA model to be misidentified using unadjusted autocorrelation (acf) and partial autocorrelation estimates. The magnitude, location, type of outlier, and in some cases the ARMA's parameters, affect the identification outcome. We use variance inflation, signal-to-noise ratios, and acf critical values to determine an ARMA model's susceptibility to misidentifi-cation. Numerical and simulation examples suggest how to iteratively use the outlier detection methods in practice. |
| Publisher: |
Taylor & Francis |
| Source file: |
Elektronische Wetenschappelijke Tijdschriften |
Details for article 7 of 23 found articles
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