Outliers, Level Shifts, and Variance Changes in Time Series

@article{Tsay1988OutliersLS,
  title={Outliers, Level Shifts, and Variance Changes in Time Series},
  author={R. Tsay},
  journal={Journal of Forecasting},
  year={1988},
  volume={7},
  pages={1-20}
}
  • R. Tsay
  • Published 1988
  • Mathematics
  • Journal of Forecasting
Outliers, level shifts, and variance changes are commonplace in applied time series analysis. However, their existence is often ignored and their impact is overlooked, for the lack of simple and useful methods to detect and handle those extraordinary events. The problem of detecting outliers, level shifts, and variance changes in a univariate time series is considered. The methods employed are extremely simple yet useful. Only the least squares techniques and residual variance ratios are used… Expand
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