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Outlier Diagnostics In Time Series Analysis

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  • Johannes Ledolter

Abstract

. Cook's likelihood displacement is a convenient measure of the impact of a model perturbation on parameter estimates. A commonly used model perturbation in regression is the deletion of a case, or equation. A natural model perturbation in the time series context is the deletion of an observation, or a group of observations. Diagnostics that measure the impact of individual observations on the time series estimates are explored in this paper. A diagnostic that compares the estimates of the innovation variance with and without a particular observation is studied in detail.

Suggested Citation

  • Johannes Ledolter, 1990. "Outlier Diagnostics In Time Series Analysis," Journal of Time Series Analysis, Wiley Blackwell, vol. 11(4), pages 317-324, July.
    • Handle: RePEc:bla:jtsera:v:11:y:1990:i:4:p:317-324
    DOI: 10.1111/j.1467-9892.1990.tb00060.x
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    Cited by:

    1. Andy Lee & John Yick & Yer Van Hui, 2001. "Sensitivity of the portmanteau statistic in time series modeling," Journal of Applied Statistics, Taylor & Francis Journals, vol. 28(6), pages 691-702.
    2. Bauer, Marcus & Gather, Ursula & Imhoff, Michael, 1999. "The identification of multiple outliers in online monitoring data," Technical Reports 1999,29, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.

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