EXPECTATION‐MAXIMIZATION ALGORITHMS AND THE ESTIMATION OF TIME SERIES MODELS IN THE PRESENCE OF OUTLIERS
- 1 May 1993
- journal article
- Published by Wiley in Journal of Time Series Analysis
- Vol. 14 (3) , 221-234
- https://doi.org/10.1111/j.1467-9892.1993.tb00140.x
Abstract
The expectation‐maximization algorithm is reviewed briefly. The algorithm is applied to time series situations where outliers may be present. An approximation of the algorithm is considered to reduce the computational complexity. Examples are given to illustrate the application of this algorithm.Keywords
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