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Identification of a Type I Outlier in an Autoregressive Model

 

作者: W. Schmmid,  

 

期刊: Statistics  （Taylor Available online 1989）
卷期: Volume 20, issue 4  

页码: 531-545

 

ISSN:0233-1888

 

年代: 1989

 

DOI:10.1080/02331888908802203

 

出版商: Akademie-Verlag

 

关键词: Outlier;type I outlier;autoregressive process;likelihood ratio test;tests of discordancy;asymptotic power function

 

数据来源: Taylor

 

摘要:

Let a realization of a time series be given, which coincides with that of an autoregressive Process except for a single observation. The location of this value is assumed to be known. In order to desctibe the outlier a slippage model is used.

 

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