A note on time series model specification in the presence of outliers
作者:
Wai-Sum Chan,
期刊:
Journal of Applied Statistics
(Taylor Available online 1992)
卷期:
Volume 19,
issue 1
页码: 117-124
ISSN:0266-4763
年代: 1992
DOI:10.1080/02664769200000010
出版商: Carfax Publishing Company
数据来源: Taylor
摘要:
We investigate the usefulness of sample autocorrelations and partial autocorrelations as model specification tools when the observed time series is contaminated by an outlier. The results indicate that the specification power of these statistics could be significantly jeopardized by an additive outlier. On the other hand, an innovational outlier seems to cause no harm to them.
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