Monitoring for outliers and level shifts in kalman filter implementations of exponential smoothing
✍ Scribed by Nancy J. Kirkendall
- Publisher
- John Wiley and Sons
- Year
- 1992
- Tongue
- English
- Weight
- 923 KB
- Volume
- 11
- Category
- Article
- ISSN
- 0277-6693
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✦ Synopsis
This paper presents a new application of a Kalman filter implementation of exponential smoothing with monitoring for outliers and level shifts.
The assumption is that each observation comes from one of three models: steady, outlier, or level shift. This concept was introduced as a multiprocess model by Harrison and Stevens (1976). However, their handling of the models is different. In this paper four different model-selection criteria are introduced and compared by applying them to data. The new features of the application include the four model-selection criteria and the estimation of the required parameters by maximum likelihood.