Outlier detection in the state space model

Siddhartha Chib and Ram C. Tiwari

Statistics & Probability Letters, 1994, vol. 20, issue 2, 143-148

Abstract: 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.

Keywords: Kalman; filter; recursions; Smoothing; recursions; Realized; errors (search for similar items in EconPapers)
Date: 1994
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