کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1148788 | 957851 | 2006 | 27 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
Bias correction for outlier estimation in time series
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موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات کاربردی
پیش نمایش صفحه اول مقاله
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چکیده انگلیسی
The problem of outlier estimation in time series is addressed. The least squares estimators of additive and innovation outliers in the framework of linear stationary and non-stationary models are considered and their bias is evaluated. As a result, simple alternative nearly unbiased estimators are proposed both for the additive and the innovation outlier types. A simulation study confirms the theoretical results and suggests that the proposed estimators are effective in reducing the bias also for short series.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Journal of Statistical Planning and Inference - Volume 136, Issue 11, 1 November 2006, Pages 3904–3930
Journal: Journal of Statistical Planning and Inference - Volume 136, Issue 11, 1 November 2006, Pages 3904–3930
نویسندگان
Francesco Battaglia,