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Genetic algorithms for the identification of additive and innovation outliers in time series

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  • Baragona, Roberto
  • Battaglia, Francesco
  • Calzini, Claudio

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  • Baragona, Roberto & Battaglia, Francesco & Calzini, Claudio, 2001. "Genetic algorithms for the identification of additive and innovation outliers in time series," Computational Statistics & Data Analysis, Elsevier, vol. 37(1), pages 1-12, July.
    • Handle: RePEc:eee:csdana:v:37:y:2001:i:1:p:1-12
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    References listed on IDEAS

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    1. Barnett, Glen & Kohn, Robert & Sheather, Simon, 1996. "Bayesian estimation of an autoregressive model using Markov chain Monte Carlo," Journal of Econometrics, Elsevier, vol. 74(2), pages 237-254, October.
    2. Robert E. McCulloch & Ruey S. Tsay, 1994. "Bayesian Analysis Of Autoregressive Time Series Via The Gibbs Sampler," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(2), pages 235-250, March.
    3. David Rosenblatt, 1957. "On the graphs and asymptotic forms of finite boolean relation matrices and stochastic matrices," Naval Research Logistics Quarterly, John Wiley & Sons, vol. 4(2), pages 151-167, June.
    4. Pena, Daniel, 1990. "Influential Observations in Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 235-241, April.
    5. Chatterjee, Sangit & Laudato, Matthew & Lynch, Lucy A., 1996. "Genetic algorithms and their statistical applications: an introduction," Computational Statistics & Data Analysis, Elsevier, vol. 22(6), pages 633-651, October.
    6. Sabyasachi Basu & Gregory C. Reinsel, 1996. "Relationship between Missing Data Likelihoods and Complete Data Restricted Likelihoods for Regression Time Series Models: An Application to Total Ozone Data," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 45(1), pages 63-72, March.
    7. Francesco Battaglia, 1988. "On The Estimation Of The Inverse Correlation Function," Journal of Time Series Analysis, Wiley Blackwell, vol. 9(1), pages 1-10, January.
    8. Gómez, Víctor & Maravall, Agustín & Peña, Daniel, 1993. "Computing missing values in time series," DES - Working Papers. Statistics and Econometrics. WS 3737, Universidad Carlos III de Madrid. Departamento de Estadística.
    9. Ahn, Sung K. & Reinsel, Gregory C., 1994. "Estimation of partially nonstationary vector autoregressive models with seasonal behavior," Journal of Econometrics, Elsevier, vol. 62(2), pages 317-350, June.
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    Cited by:

    1. Roberto Baragona & Francesco Battaglia & Domenico Cucina, 2004. "Estimating threshold subset autoregressive moving-average models by genetic algorithms," Metron - International Journal of Statistics, Dipartimento di Statistica, Probabilità e Statistiche Applicate - University of Rome, vol. 0(1), pages 39-61.
    2. Francesco Battaglia & Domenico Cucina & Manuel Rizzo, 2020. "Detection and estimation of additive outliers in seasonal time series," Computational Statistics, Springer, vol. 35(3), pages 1393-1409, September.
    3. Francesco Battaglia & Mattheos K. Protopapas, 2010. "Multi-regime models for nonlinear nonstationary time series," Working Papers 026, COMISEF.
    4. Winker, Peter & Gilli, Manfred, 2004. "Applications of optimization heuristics to estimation and modelling problems," Computational Statistics & Data Analysis, Elsevier, vol. 47(2), pages 211-223, September.
    5. Manfred GILLI & Peter WINKER, 2008. "A review of heuristic optimization methods in econometrics," Swiss Finance Institute Research Paper Series 08-12, Swiss Finance Institute.
    6. Gray, J. Brian & Fan, Guangzhe, 2008. "Classification tree analysis using TARGET," Computational Statistics & Data Analysis, Elsevier, vol. 52(3), pages 1362-1372, January.

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