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Extensions of the Forward Search to Time Series
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Marco Riani
Veröffentlicht/Copyright:
18. Mai 2004
This paper extends the forward search technique to the analysis of structural time series data. It provides a series of powerful new forward plots that use information from the whole sample to display the effect of each observation on a wide variety of aspects of the fitted model and shows how the forward search, free from masking and swamping problems, can detect the main underlying features of the series under study (masked multiple outliers, level shifts or transitory changes). The effectiveness of the suggested approach is shown through the analysis of real and simulated data.
Published Online: 2004-5-18
©2011 Walter de Gruyter GmbH & Co. KG, Berlin/Boston
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Artikel in diesem Heft
- Article
- Introduction
- Extensions of the Forward Search to Time Series
- Analyzing Financial Time Series through Robust Estimators
- Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes
- Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
- MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
- GARCH-type Models with Generalized Secant Hyperbolic Innovations
- Mixture Processes for Financial Intradaily Durations
- Constructing Non-linear Gaussian Time Series by Means of a Simplified State Space Representation
- Statistical Tests for Lyapunov Exponents of Deterministic Systems
- Assessing Chaos in Time Series: Statistical Aspects and Perspectives
- On the Stationarity of First-order Nonlinear Time Series Models: Some Developments
- Experimental Design for Time-Dependent Models with Correlated Observations
- Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
- Stability and Consistency of Seasonally Adjusted Aggregates and Their Component Patterns
- Seasonal Specific Structural Time Series
- Relationship between Local and Global Nonparametric Estimators Measures of Fitting and Smoothing
Artikel in diesem Heft
- Article
- Introduction
- Extensions of the Forward Search to Time Series
- Analyzing Financial Time Series through Robust Estimators
- Clusters of Extreme Observations and Extremal Index Estimate in GARCH Processes
- Estimating Stochastic Volatility Models: A Comparison of Two Importance Samplers
- MCMC Bayesian Estimation of a Skew-GED Stochastic Volatility Model
- GARCH-type Models with Generalized Secant Hyperbolic Innovations
- Mixture Processes for Financial Intradaily Durations
- Constructing Non-linear Gaussian Time Series by Means of a Simplified State Space Representation
- Statistical Tests for Lyapunov Exponents of Deterministic Systems
- Assessing Chaos in Time Series: Statistical Aspects and Perspectives
- On the Stationarity of First-order Nonlinear Time Series Models: Some Developments
- Experimental Design for Time-Dependent Models with Correlated Observations
- Inference and Forecasting for ARFIMA Models With an Application to US and UK Inflation
- Stability and Consistency of Seasonally Adjusted Aggregates and Their Component Patterns
- Seasonal Specific Structural Time Series
- Relationship between Local and Global Nonparametric Estimators Measures of Fitting and Smoothing
