Linear Models, TIme Series and Outliers, 5: Outliers in Time Series.

摘要

Assuming a linear time series model a Bayesian approach to the outlier problem is used in which with probability 1 alpha a probability is generated by a standard distribution and with probability alpha is generated by an alternative distribution with the same variance but with the mean displaced. The effect of estimation of parameters is studied and consideration is given to the selection of bad values.