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

Abstract

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.

Document Details

Document Type
Technical Report
Publication Date
Sep 01, 1975
Accession Number
ADA027695

Entities

People

  • Bovas Abraham
  • George E. P. Box

Organizations

  • University of Wisconsin–Madison

Tags

DTIC Thesaurus Topics

  • Bayesian Networks
  • Mathematics
  • Models
  • Probabilistic Models
  • Probability
  • Standards

Fields of Study

  • Mathematics

Readers

  • Statistical inference.

Technology Areas

  • AI & ML
  • AI & ML - Bayesian Inference