A SCORE TEST FOR DETECTION OF TIME SERIES OUTLIERS

Bovas Abraham and Nihal Yatawara

Journal of Time Series Analysis, 1988, vol. 9, issue 2, 109-119

Abstract: Abstract. Two characterizations, the aberrant observation and innovation models, for outliers in time series are considered. A procedure based on the well‐known score‐test is discussed for detection of outliers and distinguishing between the outlier types. Significance levels of the tests are also obtained and the method is illustrated with simulated examples.

Date: 1988
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