Outliers in multivariate time series

Ruey S. Tsay and Alan E. Pankratz
Authors registered in the RePEc Author Service: Daniel Peña

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: This paper considers outliers in multivariate time series analysis. It generalizes four types of disturbances commonly used in the univariate time series analysis to the multivariate case, and investigates dynamic effects of a multivariate outlier on individual components if marginal models are used. An innovational outlier of a vector series can introduce a patch of outliers for the marginal component models. The paper also proposes an iterative procedure to detect and handle multiple outliers. By comparing and contrasting results of univariate and multivariate outlier detections, one can gain insights into the characteristics of an outlier. An outlier in a component series mayor may not have significant impacts on the other components. We use real examples to demonstrate the proposed analysis.

Keywords: temporary; change; Additive; outlier; innovational; outlier; level; shift (search for similar items in EconPapers)
Date: 1998-12
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://e-archivo.uc3m.es/rest/api/core/bitstreams ... ba5a6fe61941/content (application/pdf)

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:cte:wsrepe:6285

Access Statistics for this paper

More papers in DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística
Bibliographic data for series maintained by Ana Poveda ().