EconPapers    
Economics at your fingertips  
 

Robust Monitoring of Time Series with Application to Fraud Detection

Peter Rousseeuw (), Domenico Perrotta, Marco Riani and Mia Hubert

Econometrics and Statistics, 2019, vol. 9, issue C, 108-121

Abstract: Time series often contain outliers and level shifts or structural changes. These unexpected events are of the utmost importance in fraud detection, as they may pinpoint suspicious transactions. The presence of such unusual events can easily mislead conventional time series analysis and yield erroneous conclusions. A unified framework is provided for detecting outliers and level shifts in short time series that may have a seasonal pattern. The approach combines ideas from the FastLTS algorithm for robust regression with alternating least squares. The double wedge plot is proposed, a graphical display which indicates outliers and potential level shifts. The methodology was developed to detect potential fraud cases in time series of imports into the European Union, and is illustrated on two such series.

Keywords: Alternating least squares; Double wedge plot; Level shift; Outliers (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S2452306218300303
Full text for ScienceDirect subscribers only. Contains open access articles

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:ecosta:v:9:y:2019:i:c:p:108-121

DOI: 10.1016/j.ecosta.2018.05.001

Access Statistics for this article

Econometrics and Statistics is currently edited by E.J. Kontoghiorghes, H. Van Dijk and A.M. Colubi

More articles in Econometrics and Statistics from Elsevier
Bibliographic data for series maintained by Haili He ().

 
Page updated 2020-09-12
Handle: RePEc:eee:ecosta:v:9:y:2019:i:c:p:108-121