Extensions of the Forward Search to Time Series
This paper extends the forward search technique to the analysis of structural time series data. It provides a series of powerful new forward plots that use information from the whole sample to display the effect of each observation on a wide variety of aspects of the fitted model and shows how the forward search, free from masking and swamping problems, can detect the main underlying features of the series under study (masked multiple outliers, level shifts or transitory changes). The effectiveness of the suggested approach is shown through the analysis of real and simulated data.
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Volume (Year): 8 (2004)
Issue (Month): 2 (May)
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References listed on IDEAS
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- Anthony C. Atkinson, 2002. "Forward search added-variable t-tests and the effect of masked outliers on model selection," Biometrika, Biometrika Trust, vol. 89(4), pages 939-946, December.
- Durbin, James & Koopman, Siem Jan, 2012.
"Time Series Analysis by State Space Methods,"
Oxford University Press,
edition 2, number 9780199641178, April.
- Durbin, James & Koopman, Siem Jan, 2001. "Time Series Analysis by State Space Methods," OUP Catalogue, Oxford University Press, number 9780198523543, April.
- Tom Doan, "undated". "SEASONALDLM: RATS procedure to create the matrices for the seasonal component of a DLM," Statistical Software Components RTS00251, Boston College Department of Economics.
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