Robust Dickey–Fuller tests based on ranks for time series with additive outliers

Metrika ◽  
2016 ◽  
Vol 80 (1) ◽  
pp. 115-131 ◽  
Author(s):  
V. A. Reisen ◽  
C. Lévy-Leduc ◽  
M. Bourguignon ◽  
H. Boistard
Keyword(s):  
Time Series ◽  
Additive Outliers

scholarly journals SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*

2003 ◽  
Vol 24 (2) ◽  
pp. 193-220 ◽  
Author(s):  
Pierre Perron ◽  
Gabriel Rodríguez
Keyword(s):  
Time Series ◽  
Nonstationary Time Series ◽  
Additive Outliers

scholarly journals Detection of Additive Outliers in Seasonal Time Series

2009 ◽  
Author(s):  
Niels Haldrup ◽  
Andreu Sansó ◽  
Antonio Montañés
Keyword(s):  
Time Series ◽  
Seasonal Time Series ◽  
Additive Outliers

scholarly journals Detection of Outliers and Patches in Bilinear Time Series Models

2010 ◽  
Vol 2010 ◽  
pp. 1-10 ◽  
Author(s):  
Ping Chen ◽  
Ling Li ◽  
Ye Liu ◽  
Jin-Guan Lin
Keyword(s):  
Time Series ◽  
Monte Carlo ◽  
Gibbs Sampling ◽  
Monte Carlo Methods ◽  
Time Series Models ◽  
Posterior Distributions ◽  
Sampling Algorithm ◽  
Additive Outliers ◽  
Gibbs Sampling Algorithm ◽  
Detection Of Outliers

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.

scholarly journals Detection of Additive Outliers in Seasonal Time Series

2011 ◽  
Vol 3 (2) ◽  
Author(s):  
Niels Haldrup ◽  
Antonio Montañes ◽  
Andreu Sansó
Keyword(s):  
Time Series ◽  
Seasonal Time Series ◽  
Additive Outliers

A bootstrap test for additive outliers in non-stationary time series

2013 ◽  
Vol 34 (4) ◽  
pp. 454-465 ◽  
Author(s):  
Sam Astill ◽  
David I. Harvey ◽  
A. M. Robert Taylor
Keyword(s):  
Time Series ◽  
Stationary Time Series ◽  
Bootstrap Test ◽  
Stationary Time ◽  
Additive Outliers

scholarly journals Detection and estimation of additive outliers in seasonal time series

2019 ◽  
Vol 35 (3) ◽  
pp. 1393-1409
Author(s):  
Francesco Battaglia ◽  
Domenico Cucina ◽  
Manuel Rizzo
Keyword(s):  
Time Series ◽  
Detection And Estimation ◽  
Seasonal Time Series ◽  
Additive Outliers
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