Economics at your fingertips  

Detection and estimation of additive outliers in seasonal time series

Francesco Battaglia (), Domenico Cucina () and Manuel Rizzo ()
Additional contact information
Francesco Battaglia: University La Sapienza
Domenico Cucina: University of Salerno
Manuel Rizzo: University La Sapienza

Computational Statistics, 2020, vol. 35, issue 3, No 20, 1393-1409

Abstract: Abstract The detection of outliers in a time series is an important issue because their presence may have serious negative effects on the analysis in many different ways. Moreover the presence of a complex seasonal pattern in the series could affect the properties of the usual outlier detection procedures. Therefore modelling the appropriate form of seasonality is a very important step when outliers are present in a seasonal time series. In this paper we present some procedures for detection and estimation of additive outliers when parametric seasonal models, in particular periodic autoregressive, are specified to fit the data. A simulation study is presented to evaluate the benefits and the drawbacks of the proposed procedure on a selection of seasonal time series. An application to three real time series is also examined.

Keywords: Periodic autoregressive process; Periodic autocorrelation; False detection (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:

Ordering information: This journal article can be ordered from

DOI: 10.1007/s00180-019-00928-5

Access Statistics for this article

Computational Statistics is currently edited by Wataru Sakamoto, Ricardo Cao and Jürgen Symanzik

More articles in Computational Statistics from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().

Page updated 2020-10-15
Handle: RePEc:spr:compst:v:35:y:2020:i:3:d:10.1007_s00180-019-00928-5