Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1148788 | Journal of Statistical Planning and Inference | 2006 | 27 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Francesco Battaglia,