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Comportamiento en muestras pequeñas de los atípicos innovacionales: Un ejercicio de simulación

  • F. Javier Trivez

    (Universidad de Zaragoza)

  • Javier Nievas

    (Universidad de Zaragoza)

Registered author(s):

    Los atípicos u outliers innovacionales (IO), en el límite (esto es, asintóticamente y considerando un tamaño de dichos outliers suficientemente grande) no producen efecto alguno en las funciones de autocorrelación. Esto implica que la presencia de IO nos llevaría, en el límite, a identificar correctamente el proceso generador de la serie temporal objeto de estudio. El objetivo de este artículo consiste en analizar mediante un ejercicio de simulación el cumplimiento de este resultado teório (límite); en concreto, se trata de analizar si, efectivamente, para cualquier tamaño de outliers innovacionales presentes en una serie temporal, las funciones de autocorrelación muestrales no se ven afectadas por dichos atípicos.

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    Article provided by Estudios de Economía Aplicada in its journal Estudios de Economía Aplicada.

    Volume (Year): 5 (1996)
    Issue (Month): (Junio)
    Pages: 161-175

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    Handle: RePEc:lrk:eeaart:5_2_8
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    1. Wai-Sum Chan, 1995. "Understanding the effect of time series outliers on sample autocorrelations," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 4(1), pages 179-186, June.
    2. Chen, Chung & Tiao, George C, 1990. "Random Level-Shift Time Series Models, ARIMA Approximations, and Level-Shift Detection," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(1), pages 83-97, January.
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