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Outlier detection and robust covariance estimation using mathematical programming

✍ Scribed by Tri-Dzung Nguyen; Roy E. Welsch


Book ID
107435998
Publisher
Springer-Verlag
Year
2010
Tongue
English
Weight
666 KB
Volume
4
Category
Article
ISSN
1862-5347

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## Abstract A diagnostic procedure for detecting additive and innovation outliers as well as level shifts in a regression model with ARIMA errors is introduced. The procedure is based on a robust estimate of the model parameters and on innovation residuals computed by means of robust filtering. A M