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Understanding the effect of time series outliers on sample autocorrelations

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  • Wai-Sum Chan

Abstract

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Suggested Citation

  • Wai-Sum Chan, 1995. "Understanding the effect of time series outliers on sample autocorrelations," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 4(1), pages 179-186, June.
  • Handle: RePEc:spr:testjl:v:4:y:1995:i:1:p:179-186
    DOI: 10.1007/BF02563108
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    Cited by:

    1. F. Javier TRIVEZ & Angel Mauricio REYES & F. Javier ALIAGA, 2009. "MEXICAN MAQUILA INDUSTRY OUTLOOK. A Quantitative Space-Time Analysis," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, vol. 9(1).
    2. F. Javier Trivez & Javier Nievas, 1996. "Comportamiento en muestras pequeñas de los atípicos innovacionales: Un ejercicio de simulación," Estudios de Economia Aplicada, Estudios de Economia Aplicada, vol. 5, pages 161-175, Junio.
    3. Carnero, María Ángeles, 2001. "Outliers and conditional autoregressive heteroscedasticity in time series," DES - Working Papers. Statistics and Econometrics. WS ws010704, Universidad Carlos III de Madrid. Departamento de Estadística.
    4. Francesco Battaglia & Lia Orfei, 2005. "Outlier Detection And Estimation In NonLinear Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 107-121, January.
    5. V. A. Reisen & C. Lévy-Leduc & M. Bourguignon & H. Boistard, 2017. "Robust Dickey–Fuller tests based on ranks for time series with additive outliers," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 80(1), pages 115-131, January.
    6. F. Javier Trivez & Javier Nievas, 1998. "Analyzing the effects of level shifts and temporary changes on the identification of ARIMA models," Journal of Applied Statistics, Taylor & Francis Journals, vol. 25(3), pages 409-424.
    7. Hella, Heikki, 2003. "On robust ESACF identification of mixed ARIMA models," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2003_027, March.

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