strategien gegen ausreisser in zeitreihenmodellen

Kunst, Robert M. (June 1985) strategien gegen ausreisser in zeitreihenmodellen. Forschungsberichte / Research Memoranda 219

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abstract: this paper is to be understood not only as correction and extension of the older paper by the same author which presented a time series model of the austrian economy, it also wants to offer strategies to control the influence of outliers in univariate as well as multivariate time series models generally. the stress is on automatic procedures which do not require knowledge a priori concerning origin or location in time of the outliers. in the second part of the paper, two procedures are applied to economic data in a purely univariate framework. sufficient evidence is found for a non-negligible influence of both innovations and additive outliers on model estimation and forecasting.;

Item Type: IHS Series
Status: Published
Date Deposited: 26 Sep 2014 10:34
Last Modified: 01 Apr 2016 14:07
URI: http://irihs.ihs.ac.at/id/eprint/219

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