Outlier detection in the state space model

Zellner (1975), Chaloner and Brant (1988), and Chaloner (1991) used the posterior distributions of the realized errors to define outliers in a linear model. The same concept is used here to define outliers in a state-space model. An effective approach to compute the posterior probabilities of observations being outliers is developed and illustrated by means of examples. The detection of two outliers is straightforward.

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Year of publication:	1994
Authors:	Chib, Siddhartha ; Tiwari, Ram C.
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 20.1994, 2, p. 143-148
Publisher:	Elsevier
Keywords:	Kalman filter recursions Smoothing recursions Realized errors

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005319288