Multivariate time series (MTS) samples which differ significantly from other MTS samples are referred to as outlier samples. In this paper, an algorithm designed to efficiently detect the top n outlier samples in MTS dataset, based on Solving Set, is proposed. An extended Frobenius Norm is used to c
โฆ LIBER โฆ
Outliers in multivariate time series
โ Scribed by Tsay, R. S.
- Book ID
- 121859343
- Publisher
- Oxford University Press
- Year
- 2000
- Tongue
- English
- Weight
- 158 KB
- Volume
- 87
- Category
- Article
- ISSN
- 0006-3444
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Likelihood ratio tests for detecting a single outlier in multivariate linear models are considered, where an observation is called an outlier if there has been a shift in the mean. The test statistics are the maximum of n nonindependent statistics, where n is the number of observations. Relevant dis