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
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Citations: View citations in EconPapers (10)

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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

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