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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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