Detection and estimation of additive outliers in seasonal time series

• Published in: Computational statistics Vol. 35; no. 3; pp. 1393 - 1409
• Main Authors: Battaglia, Francesco, Cucina, Domenico, Rizzo, Manuel
• Format: Journal Article
• Language: English
• Published: Berlin/Heidelberg Springer Berlin Heidelberg 01.09.2020
• Subjects: Economic Theory/Quantitative Economics/Mathematical Methods; Mathematics and Statistics; Original Paper; Probability and Statistics in Computer Science; Probability Theory and Stochastic Processes; Statistics; False detection; Periodic autoregressive process; Periodic autocorrelation

The detection of outliers in a time series is an important issue because their presence may have serious negative effects on the analysis in many different ways. Moreover the presence of a complex seasonal pattern in the series could affect the properties of the usual outlier detection procedures. T...