LEAVE‐K‐OUT DIAGNOSTICS IN STATE‐SPACE MODELS

Tommaso Proietti

Journal of Time Series Analysis, 2003, vol. 24, issue 2, 221-236

Abstract: Abstract. The paper derives an algorithm for computing leave‐k‐out diagnostics for the detection of patches of outliers for stationary and nonstationary state‐space models with regression effects. The algorithm is based on a reverse run of the Kalman filter on the smoothing errors and is both efficient and easy to implement. The US index of industrial production for textiles is used to illustrate the application of the algorithm.

Date: 2003
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Citations: View citations in EconPapers (5)

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https://doi.org/10.1111/1467-9892.00304

Related works:
Working Paper: Leave-k-out diagnostics in state space models (2000)
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