Detection of Outliers and Patches in Bilinear Time Series Models

被引：5

作者：

Chen, Ping ^{[1
]}

Li, Ling ^{[1
]}

Liu, Ye ^{[1
]}

Lin, Jin-Guan ^{[1
]}

机构：

[1] Southeast Univ, Dept Math, Nanjing 210096, Peoples R China

来源：

MATHEMATICAL PROBLEMS IN ENGINEERING | 2010年 / 2010卷

关键词：

D O I：

10.1155/2010/580583

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

We propose a Gibbs sampling algorithm to detect additive outliers and patches of outliers in bilinear time series models based on Bayesian view. We first derive the conditional posterior distributions, and then use the results of first Gibbs run to start the second adaptive Gibbs sampling. It is shown that our procedure could reduce possible effects on masking and swamping. At last, some simulations are performed to demonstrate the efficacy of detection and estimation by Monte Carlo methods.

引用

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页数：10

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