Seasonal outliers in time series

Repositorio e-Archivo

Mostrar el registro sencillo del ítem Kaiser, Regina Maravall, Agustín
dc.contributor.editor Universidad Carlos III de Madrid. Departamento de Estadística 2010-01-11T12:55:15Z 2010-01-11T12:55:15Z 1999-06
dc.description.abstract In the analysis of time series, it is frequent to classify perturbations as Additive Outliers (AO) , Innovative Outliers (10), Level Shift (LS) outliers or Transitory Change (TC) outliers. When a time series with a clear seasonal behaviour is considered, this classification may be too restrictive since none of the four outlier types is adequate to model changes in the seasonal pattern of the series. In this paper, a new outlier type, the Seasonal level Shift (SLS), is introduced in order to complete the usual classification. The iterative procedure for the detection of outliers in Chen and Liu (1993) is extended to detect SLS outliers. We use simulations and real examples to assess the properties of the new type of outlier.
dc.format.mimetype application/pdf
dc.language.iso eng
dc.relation.ispartofseries UC3M Working Papers. Statistics and Econometrics
dc.relation.ispartofseries 99-49-15
dc.rights Atribución-NoComercial-SinDerivadas 3.0 España
dc.subject.other ARIMA models
dc.subject.other seasonality
dc.subject.other level shift
dc.subject.other outlier detection
dc.title Seasonal outliers in time series
dc.type workingPaper
dc.subject.eciencia Estadística
dc.rights.accessRights openAccess
 Find Full text

Ficheros en el ítem

*Click en la imagen del fichero para previsualizar.(Los elementos embargados carecen de esta funcionalidad)

El ítem tiene asociada la siguiente licencia:

Este ítem aparece en la(s) siguiente(s) colección(es)

Mostrar el registro sencillo del ítem