Search Results - subject:"Additive outliers"

Getting back on track: Forecasting after extreme observations

Boug, Pål; Hungnes, Håvard; Kurita, Takamitsu - 2024

observations at the end of the sample period. It focuses on comparing two outlier correction methods, additive outliers and …

Persistent link: https://www.econbiz.de/10015195440

Getting back on track : forecasting after extreme observations

Boug, Pål; Hungnes, Håvard; Kurita, Takamitsu - 2024

observations at the end of the sample period. It focuses on comparing two outlier correction methods, additive outliers and …

Persistent link: https://www.econbiz.de/10015182571

On robust estimation of negative binomial INARCH models

Elsaied, Hanan; Fried, Roland - In: METRON 79 (2021) 2, pp. 137-158

We discuss robust estimation of INARCH models for count time series, where each observation conditionally on its past follows a negative binomial distribution with a constant scale parameter, and the conditional mean depends linearly on previous observations. We develop several robust...

Persistent link: https://www.econbiz.de/10014501775

A comparison between Tau-d and the procedure TRAMO-SEATS is also included.

Rodriguez, Gabriel; Ramirez, Dionisio - Departamento de Economía, Pontificia Universidad … - 2013

Perron and Rodríguez (2003) claimed that their procedure to detect for additive outliers (Tau-d) is powerful even when … when we have ARFIMA(p; d; q) errors. Using simulations, we calculate the expected number of additive outliers found in this … context and the number of times that the approach Tau-d identies the true location of the additive outliers. The results …

Persistent link: https://www.econbiz.de/10010990294

Changes in persistence in outlier contaminated time series

Hirsch, Tristan; Rinke, Saskia - 2017

outliers, additive outliers and innovative outliers. Our simulation results show that the effect of outliers crucially depends … on the outlier type and on the degree of persistence of the underlying process. Additive outliers deteriorate the … performance of the tests. Since additive outliers lead to severe size distortions when the null hypothesis under consideration is …

Persistent link: https://www.econbiz.de/10011663408

Changes in persistence in outlier contaminated time series

Hirsch, Tristan; Rinke, Saskia - 2017

Persistent link: https://www.econbiz.de/10011581507

Essays on nonlinearities in time series : regime switching, outlying observations, and changes in persistence

Rinke, Saskia - 2017

Information criteria, nonlinearity, additive outliers, innovative outliers, change in persistence, outlier detection …

Persistent link: https://www.econbiz.de/10012123316

The influence of additive outliers on the performance of information criteria to detect nonlinearity

Rinke, Saskia - 2016

time series are investigated. Additive outliers can seriously influence the properties of the underlying time series and … the power. Additive outliers decrease the power in distinct regimes in small samples and in intermediate regimes in large …

Persistent link: https://www.econbiz.de/10011521180

The influence of additive outliers on the performance of information criteria to detect nonlinearity

Rinke, Saskia - 2016

Persistent link: https://www.econbiz.de/10011488709

Outliers in multivariate Garch models

Grané, Aurea; Martín-Barragán, Belén; Veiga, Helena - Departamento de Estadistica, Universidad Carlos III de … - 2014

studding the impact of additive outliers (isolated, patches and volatility outliers) on the estimation of correlations when …

Persistent link: https://www.econbiz.de/10010861874