OUTLIERS DETECTION IN TIME-SERIES

被引：0

作者：

LEE, AH ^{[1
]}

HUI, YV ^{[1
]}

机构：

[1] UNIV NEW S WALES,DEPT STAT,KENSINGTON,NSW 2033,AUSTRALIA

来源：

JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION | 1993年 / 45卷 / 1-2期

关键词：

DIAGNOSTICS; LEVERAGE; OUTLIERS;

D O I：

暂无

中图分类号：

TP39 [计算机的应用];

学科分类号：

081203 ; 0835 ;

摘要：

This paper studies a diagnostic procedure for detecting outlying observations in univariate time series. The procedure takes the form of a graphical display of sample leverage with an envelope derived from simulation to assess the magnitude of outliers. The proposed method is more effective than techniques that based on sample residuals, especially when multiple/consecutive outliers are present. Practical illustrations using both simulated and business data are included.

引用

页码：77 / 95

页数：19

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