Corpus ID: 521319

Efficient and Consistent Robust Time Series Analysis

@article{Bhatia2016EfficientAC,
  title={Efficient and Consistent Robust Time Series Analysis},
  author={Kush Bhatia and P. Jain and P. Kamalaruban and Purushottam Kar},
  journal={ArXiv},
  year={2016},
  volume={abs/1607.00146}
}
  • Kush Bhatia, P. Jain, +1 author Purushottam Kar
  • Published 2016
  • Computer Science, Mathematics
  • ArXiv
  • We study the problem of robust time series analysis under the standard auto-regressive (AR) time series model in the presence of arbitrary outliers. We devise an efficient hard thresholding based algorithm which can obtain a consistent estimate of the optimal AR model despite a large fraction of the time series points being corrupted. Our algorithm alternately estimates the corrupted set of points and the model parameters, and is inspired by recent advances in robust regression and hard… CONTINUE READING

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