Prediction problems related to a first-order autoregressive process in the presence of outliers

Sugata Sen Roy, and Sourav Chakraborty. "Prediction problems related to a first-order autoregressive process in the presence of outliers." Applicationes Mathematicae 33.3-4 (2006): 265-274. <http://eudml.org/doc/279190>.

@article{SugataSenRoy2006,
abstract = {Outliers in a time series often cause problems in fitting a suitable model to the data. Hence predictions based on such models are liable to be erroneous. In this paper we consider a stable first-order autoregressive process and suggest two methods of substituting an outlier by imputed values and then predicting on the basis of it. The asymptotic properties of both the process parameter estimators and the predictors are also studied.},
author = {Sugata Sen Roy, Sourav Chakraborty},
journal = {Applicationes Mathematicae},
keywords = {autoregressive process; outliers; imputation; estimated predictor; average replacement method; forecasting replacement method; simulations},
language = {eng},
number = {3-4},
pages = {265-274},
title = {Prediction problems related to a first-order autoregressive process in the presence of outliers},
url = {http://eudml.org/doc/279190},
volume = {33},
year = {2006},
}

TY - JOUR
AU - Sugata Sen Roy
AU - Sourav Chakraborty
TI - Prediction problems related to a first-order autoregressive process in the presence of outliers
JO - Applicationes Mathematicae
PY - 2006
VL - 33
IS - 3-4
SP - 265
EP - 274
AB - Outliers in a time series often cause problems in fitting a suitable model to the data. Hence predictions based on such models are liable to be erroneous. In this paper we consider a stable first-order autoregressive process and suggest two methods of substituting an outlier by imputed values and then predicting on the basis of it. The asymptotic properties of both the process parameter estimators and the predictors are also studied.
LA - eng
KW - autoregressive process; outliers; imputation; estimated predictor; average replacement method; forecasting replacement method; simulations
UR - http://eudml.org/doc/279190
ER -