Outliers in functional autoregressive time series
A method for identifying and estimating outliers in a time series is proposed, based on fitting functional autoregressive models. Both additive and innovation outliers may be defined. A simulation experiment and the analysis of some real data sets suggest that the proposed method is effective both for series following some nonlinear models, such as self-exciting threshold autoregressive or exponential autoregressive, and for linear series generated by autoregressive moving average processes.
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Volume (Year): 72 (2005)
Issue (Month): 4 (May)
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References listed on IDEAS
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