Bayesian Outlier Detection in Non‐Gaussian Autoregressive Time Series

Maria Eduarda Silva, Isabel Pereira and Brendan McCabe

Journal of Time Series Analysis, 2019, vol. 40, issue 5, 631-648

Abstract: This work investigates outlier detection and modelling in non‐Gaussian autoregressive time series models with margins in the class of a convolution closed parametric family. This framework allows for a wide variety of models for count and positive data types. The article investigates additive outliers which do not enter the dynamics of the process but whose presence may adversely influence statistical inference based on the data. The Bayesian approach proposed here allows one to estimate, at each time point, the probability of an outlier occurrence and its corresponding size thus identifying the observations that require further investigation. The methodology is illustrated using simulated and observed data sets.

Date: 2019
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