Outliers, level shifts, and variance changes in time series
- 1 January 1988
- journal article
- research article
- Published by Wiley in Journal of Forecasting
- Vol. 7 (1) , 1-20
- https://doi.org/10.1002/for.3980070102
Abstract
Outliers, level shifts, and variance changes are commonplace in applied time series analysis. However, their existence is often ignored and their impact is overlooked, for the lack of simple and useful methods to detect and handle those extraordinary events. The problem of detecting outliers, level shifts, and variance changes in a univariate time series is considered. The methods employed are extremely simple yet useful. Only the least squares techniques and residual variance ratios are used. The effectiveness of these simple methods is demonstrated by analysing three real data sets.Keywords
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