haku: @indexterm TIME SERIES / yhteensä: 413
viite: 231 / 413
| Tekijä: | Tsay, R. S. |
| Otsikko: | Outliers, level shifts, and variance changes in time series. (!Arma models) |
| Lehti: | Journal of Forecasting
1988 : JAN-MAR, VOL. 7:1, p. 1-20 |
| Asiasana: | TIME SERIES |
| Kieli: | eng |
| Tiivistelmä: | Applied time series analysis is discussed. The importance of taking into account outliers, level shifts, and variance changes is emphasized. Literature about the topic is reviewed. The lack of simple and useful methods to detect and handle the factors mentioned is highlighted. A method is presented to solve the problem. A model is introduced based on the univariate time series model. Methods are presented for parameter estimation and hypothesis testing. Only the least squares techniques and residual variance ratios are used. The effectiveness of the methods is demonstrated by analyzing three real data sets. Concluding remarks are summarized. |
SCIMA