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Outlier detection in ARMA models

✍ Scribed by Hamid Louni


Book ID
111040080
Publisher
John Wiley and Sons
Year
2008
Tongue
English
Weight
105 KB
Volume
29
Category
Article
ISSN
0143-9782

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Outlier Detection in Regression Models w
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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