EXPECTATION‐MAXIMIZATION ALGORITHMS AND THE ESTIMATION OF TIME SERIES MODELS IN THE PRESENCE OF OUTLIERS

Bovas Abraham and Alice Chuang

Journal of Time Series Analysis, 1993, vol. 14, issue 3, 221-234

Abstract: Abstract. The expectation‐maximization algorithm is reviewed briefly. The algorithm is applied to time series situations where outliers may be present. An approximation of the algorithm is considered to reduce the computational complexity. Examples are given to illustrate the application of this algorithm.

Date: 1993
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