DIAGNOSTIC METHODS OF OUTLIER DATA IN TIME SERIES SETTING

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YARMOHAMMADI M.

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Journal: PEYKE NOOR JOURNAL SCIENCE Year:2007 | Volume:1 | Issue:2 Page(s): 44-54

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Title

DIAGNOSTIC METHODS OF OUTLIER DATA IN TIME SERIES SETTING

Author(s)

YARMOHAMMADI M. | Issue Writer Certificate

Keywords

REGRESSION DIAGNOSTIC METHODSQ3

OUTLIER DATAQ3

AUTOREGRESSIVE MODELQ3

LEVERAGEQ3

COOK’S DISTANCEQ3

EMPIRICAL INFLUENCE FUNCTIONQ3

EEG RECORDSQ3

Abstract

Regression diagnostic is the general class of technique for detecting outliers and influential points. Our objective is to extend these diagnostics to the time series setting. In particular, various diagnostic tools will be explored for AUTOREGRESSIVE MODEL, which resembles the multiple regression models.In this research first the concept of LEVERAGE and Cook’sdistance based on the idea of removing one observation at a time and measuring the change in the fitted model, will be adapted to the time series situation. Then, since in some time series the outliers occur in patches, therefore it seems that it is better to consider some sort of diagnostics, such as multiple deletion statistic and multiple deletion COOK’S DISTANCE, based on the idea of leaving out a block of k consecutive observations.To detect outliers each of these procedures needs a threshold. Values of these statistics that exceed the threshold could be suspected as being an outlier. Since the distributional properties of these statistics are not known precisely, therefore to overcome this problem some simulation study were carried out. Finally, these diagnostic approaches will be used for some real time series data.

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APA: Copy

YARMOHAMMADI, M.. (2007). DIAGNOSTIC METHODS OF OUTLIER DATA IN TIME SERIES SETTING. PEYKE NOOR JOURNAL SCIENCE, 1(2), 44-54. SID. https://sid.ir/paper/203497/en

Vancouver: Copy

YARMOHAMMADI M.. DIAGNOSTIC METHODS OF OUTLIER DATA IN TIME SERIES SETTING. PEYKE NOOR JOURNAL SCIENCE[Internet]. 2007;1(2):44-54. Available from: https://sid.ir/paper/203497/en

IEEE: Copy

M. YARMOHAMMADI, “DIAGNOSTIC METHODS OF OUTLIER DATA IN TIME SERIES SETTING,” PEYKE NOOR JOURNAL SCIENCE, vol. 1, no. 2, pp. 44–54, 2007, [Online]. Available: https://sid.ir/paper/203497/en

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