IDEAS home Printed from https://ideas.repec.org/p/cte/wsrepe/ws044211.html

Outlier detection in multivariate time series via projection pursuit

Author

Listed:
  • Galeano, Pedro
  • Peña, Daniel
  • Tsay, Ruey S.

Abstract

This article uses Projection Pursuit methods to develop a procedure for detecting outliers in a multivariate time series. We show that testing for outliers in some projection directions could be more powerful than testing the multivariate series directly. The optimal directions for detecting outliers are found by numerical optimization of the kurtosis coefficient of the projected series. We propose an iterative procedure to detect and handle multiple outliers based on univariate search in these optimal directions. In contrast with the existing methods, the proposed procedure can identify outliers without pre-specifying a vector ARMA model for the data. The good performance of the proposed method is verified in a Monte Carlo study and in a real data analysis.

Suggested Citation

  • Galeano, Pedro & Peña, Daniel & Tsay, Ruey S., 2004. "Outlier detection in multivariate time series via projection pursuit," DES - Working Papers. Statistics and Econometrics. WS ws044211, Universidad Carlos III de Madrid. Departamento de Estadística.
    • Handle: RePEc:cte:wsrepe:ws044211
    as

    Download full text from publisher

    File URL: https://e-archivo.uc3m.es/rest/api/core/bitstreams/417e0bc7-d7ab-4c41-b430-389a426bdc4c/content
    Download Restriction: no
    ---><---

    References listed on IDEAS

    as
    1. Maravall, Agustin & Mathis, Alexandre, 1994. "Encompassing univariate models in multivariate time series : A case study," Journal of Econometrics, Elsevier, vol. 61(2), pages 197-233, April.
    2. Jushan Bai, 1994. "Least Squares Estimation Of A Shift In Linear Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 15(5), pages 453-472, September.
    3. Pena D. & Prieto F.J., 2001. "Cluster Identification Using Projections," Journal of the American Statistical Association, American Statistical Association, vol. 96, pages 1433-1445, December.
    4. 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.
    5. Robert Engle & Clive Granger, 2015. "Co-integration and error correction: Representation, estimation, and testing," Applied Econometrics, Russian Presidential Academy of National Economy and Public Administration (RANEPA), vol. 39(3), pages 106-135.
    6. Bianco, Ana Maria, et al, 2001. "Outlier Detection in Regression Models with ARIMA Errors Using Robust Estimates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 20(8), pages 565-579, December.
    7. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-1580, November.
    8. Balke, Nathan S, 1993. "Detecting Level Shifts in Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 11(1), pages 81-92, January.
    9. Carnero, María Ángeles & Peña, Daniel & Ruiz Ortega, Esther, 2003. "Detecting level shifts in the presence of conditional heteroscedasticity," DES - Working Papers. Statistics and Econometrics. WS ws036313, Universidad Carlos III de Madrid. Departamento de Estadística.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Galeano, Pedro, 2007. "The use of cumulative sums for detection of changepoints in the rate parameter of a Poisson Process," Computational Statistics & Data Analysis, Elsevier, vol. 51(12), pages 6151-6165, August.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Wilton Bernardino & João B. Amaral & Nelson L. Paes & Raydonal Ospina & José L. Távora, 2022. "A statistical investigation of a stock valuation model," SN Business & Economics, Springer, vol. 2(8), pages 1-25, August.
    2. Zakamulin, Valeriy & Hunnes, John A., 2021. "Stock earnings and bond yields in the US 1871–2017: The story of a changing relationship," The Quarterly Review of Economics and Finance, Elsevier, vol. 79(C), pages 182-197.
    3. Flavio Vilela Vieira & Cleomar Gomes Da Silva, 2018. "Brics Export Performance: An Ardl Bounds Testing Empirical Investigation," Anais do XLIV Encontro Nacional de Economia [Proceedings of the 44th Brazilian Economics Meeting] 101, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    4. K. Aleks Schaefer & Daniel Scheitrum, 2020. "Sewing terror: price dynamics of the strawberry needle crisis," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 64(2), pages 229-243, April.
    5. Anatoly A. Peresetsky & Ruslan I. Yakubov, 2017. "Autocorrelation in an unobservable global trend: does it help to forecast market returns?," International Journal of Computational Economics and Econometrics, Inderscience Enterprises Ltd, vol. 7(1/2), pages 152-169.
    6. Santos, João & Domingos, Tiago & Sousa, Tânia & St. Aubyn, Miguel, 2016. "Does a small cost share reflect a negligible role for energy in economic production? Testing for aggregate production functions including capital, labor, and useful exergy through a cointegration-based method," MPRA Paper 70850, University Library of Munich, Germany.
    7. Lee, Jung Wan & Brahmasrene, Tantatape, 2013. "Investigating the influence of tourism on economic growth and carbon emissions: Evidence from panel analysis of the European Union," Tourism Management, Elsevier, vol. 38(C), pages 69-76.
    8. Alessia Naccarato & Andrea Pierini & Giovanna Ferraro, 2021. "Markowitz portfolio optimization through pairs trading cointegrated strategy in long-term investment," Annals of Operations Research, Springer, vol. 299(1), pages 81-99, April.
    9. Baillie, Richard T & Bollerslev, Tim, 1994. "Cointegration, Fractional Cointegration, and Exchange Rate Dynamics," Journal of Finance, American Finance Association, vol. 49(2), pages 737-745, June.
    10. Yap, Wei Yim & Lam, Jasmine S.L., 2006. "Competition dynamics between container ports in East Asia," Transportation Research Part A: Policy and Practice, Elsevier, vol. 40(1), pages 35-51, January.
    11. repec:mbr:jmonec:v:7:y:2012:i:1:p:87-118 is not listed on IDEAS
    12. Mylonidis, Nikolaos & Kollias, Christos, 2010. "Dynamic European stock market convergence: Evidence from rolling cointegration analysis in the first euro-decade," Journal of Banking & Finance, Elsevier, vol. 34(9), pages 2056-2064, September.
    13. Yılmaz, Engin & Süslü, Bora, 2015. "The Calculation of Weighted Price Elasticity of Tax: Turkey (1998-2013)," MPRA Paper 64417, University Library of Munich, Germany, revised 15 Apr 2015.
    14. Xiaojie Xu, 2017. "The rolling causal structure between the Chinese stock index and futures," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 31(4), pages 491-509, November.
    15. Francisco Paulo Filho & Nicolino Trompieri Neto & Ivan Castelar & Cristiano da Costa da Silva & Pablo Urano de Carvalho Castelar, 2025. "Have Agricultural Derivatives and International Trade Boost the Brazilian Agricultural Sector? Empirical Evidence via Long-Run Non-Causality Test," International Journal of Economics and Finance, Canadian Center of Science and Education, vol. 17(8), pages 1-36, August.
    16. Muhammad Ahad, 2016. "Nexus between Income Inequality, Crime, Inflation and Poverty: NewEvidence fromStructural Breaksfor Pakistan," International Journal of Economics and Empirical Research (IJEER), The Economics and Social Development Organization (TESDO), vol. 4(3), pages 133-145, March.
    17. Giovanni Peri & Laura Bottaz, 2005. "The International Dynamics of R&D and Innovationin the Short Run and in the Long Run," Working Papers 250, University of California, Davis, Department of Economics.
    18. Ely, David & Salehizadeh, Mehdi, 2001. "American depositary receipts: An analysis of international stock price movements," International Review of Financial Analysis, Elsevier, vol. 10(4), pages 343-363.
    19. Nguyen, Tien-Trung & Wu, Yang-Che & Ke, Mei-Chu & Liao, Tung Liang, 2022. "Can direct government intervention save the stock market?," The Quarterly Review of Economics and Finance, Elsevier, vol. 84(C), pages 271-284.
    20. Abbas Alavirad & Sanhita Athawale, 2005. "The impact of the budget deficit on inflation in the Islamic Republic of Iran," OPEC Energy Review, Organization of the Petroleum Exporting Countries, vol. 29(1), pages 37-49, March.
    21. Liu, Yaping & Sadiq, Farah & Ali, Wajahat & Kumail, Tafazal, 2022. "Does tourism development, energy consumption, trade openness and economic growth matters for ecological footprint: Testing the Environmental Kuznets Curve and pollution haven hypothesis for Pakistan," Energy, Elsevier, vol. 245(C).

    More about this item

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:cte:wsrepe:ws044211. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Ana Poveda (email available below). General contact details of provider: http://portal.uc3m.es/portal/page/portal/dpto_estadistica .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.