頁籤選單縮合
| 題 名 | Detection of Outlier Patches in Autoregressive Time Series |
|---|---|
| 作 者 | Justel,Ana; Pena,Daniel; Tsay,Ruey S.; | 書刊名 | Statistica Sinica |
| 卷 期 | 11:3 2001.07[民90.07] |
| 頁 次 | 頁651-673 |
| 分類號 | 319.51 |
| 關鍵詞 | Gibbs sampler; Multiple outliers; Sequential learning; Time series; |
| 語 文 | 英文(English) |
| 英文摘要 | This paper proposes a procedure to detect patches of outliers in an autogressive process. The procedure is an improvement over the existing detection methods via Gibbs sampling. We show that the standard outlier detection via Gibbs sampling may be extremely inefficient in the presence of severe masking and swamping effects. The new procedure identifies the beginning and end of possible outlet patches using the existing Gibbs sampling, then carries out an adaptive procedure with block interpolation to handle patches of outliers. Empirical and simulated examples show that the proposed procedure is effective. |
本系統中英文摘要資訊取自各篇刊載內容。