Leave-K-Out Diagnostics In State-Space Models
The paper derives an algorithm for computing leave-k-out diagnostics for the detection of patches of outliers for stationary and nonstationary state-space models with regression effects. The algorithm is based on a reverse run of the Kalman filter on the smoothing errors and is both efficient and easy to implement. The US index of industrial production for textiles is used to illustrate the application of the algorithm. Copyright 2003 Blackwell Publishing Ltd.
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Volume (Year): 24 (2003)
Issue (Month): 2 (03)
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- Proietti Tommaso, 1998. "Characterizing Asymmetries in Business Cycles Using Smooth-Transition Structural Time-Series Models," Studies in Nonlinear Dynamics & Econometrics, De Gruyter, vol. 3(3), pages 1-18, October.
- Daniel E. Sichel, 1989.
"Business cycle asymmetry: a deeper look,"
Working Paper Series / Economic Activity Section
93, Board of Governors of the Federal Reserve System (U.S.).
- Harvey, Andrew C & Koopman, Siem Jan, 1992. "Diagnostic Checking of Unobserved-Components Time Series Models," Journal of Business & Economic Statistics, American Statistical Association, vol. 10(4), pages 377-89, October.
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