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Time Series Model Specification in the Presence of Outliers
Abstract
Outliers are commonplace in data analysis. Time series analysis is no exception. Noting that the effect of outliers on model identification statistics could be serious, this article is concerned with the problem of time series model specification in the presence of outliers. An iterative procedure is proposed to identify the outliers, to remove their effects, and to specify a tentative model for the underlying process. The procedure is essentially based on the iterative estimation procedure of Chang and Tiao (1983) and the extended sample autocorrelation function (ESACF) model identification method of Tsay and Tiao (1984). An example is given. Properties of the proposed procedure are discussed.
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Cites
A new look at the statistical model identification
Akaike, H. (1974) · IEEE Transactions on Automatic Control · doi:10.1109/tac.1974.1100705 · Cited by 51,879
Cited by
The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis
Perron, P. (1989) · Econometrica · doi:10.2307/1913712 · Cited by 7,732
Outliers, level shifts, and variance changes in time series
Tsay, R. S. (1988) · Journal of Forecasting · doi:10.1002/for.3980070102 · Cited by 722
Self-citationOn-line outlier detection and data cleaning
LIU, H. (2004) · Computers & Chemical Engineering · doi:10.1016/s0098-1354(04)00024-9 · Cited by 256
An Analysis of Changes in Specialist Inventories and Quotations
MADHAVAN, A., & SMIDT, S. (1993) · The Journal of Finance · doi:10.1111/j.1540-6261.1993.tb05122.x · Cited by 431
Modelling Nonlinear Economic Time Series
Teräsvirta, T., Tjøstheim, D., & Granger, C. W. J. (2010) · doi:10.1093/acprof:oso/9780199587148.001.0001 · Cited by 352
Metadata
- Authors
- Tsay, R. S.
- Venue
- Journal of the American Statistical Association
- Publisher
- Informa UK Limited
- Published
- 1986-03
- Volume
- 81
- Issue
- 393
- Pages
- 132-141
- ISSN
- 0162-1459 (ISSN-L)
- 1537-274X
- OpenAlex
- W2129214133
- Cited by
- 363
- References
- 1
- FWCI
- 7.50
- Type
- journal article
- Language
- en
- Open access
- closed
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Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).
Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.
