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Additive Outliers (additive + outlier)

Distribution by Scientific Domains

Mathematics and Statistics	60%

Selected Abstracts

Using Neural Networks to Detect and Classify Out-of-control Signals in Autocorrelated Processes

QUALITY AND RELIABILITY ENGINEERING INTERNATIONAL, Issue 6 2003
R. Noorossana
Abstract This paper presents an artificial neural network model for detecting and classifying three types of non-random disturbances referred to as level shift, additive outlier and innovational outlier which are common in autocorrelated processes. To the best of our knowledge, this is the first time that a neural network has been considered for simultaneous detection and classification of such non-random disturbances. An AR (1) model is considered to characterize the quality characteristic of interest in a continuous process where autocorrelated observations are generated over time. The performance of the proposed procedure is evaluated through the use of a numerical example. Preliminary results indicate that the procedure can be used effectively to detect and classify unusual shocks in autocorrelated processes. Copyright © 2003 John Wiley & Sons, Ltd. [source]

Modified median polish kriging and its application to the Wolfcamp,Aquifer data

ENVIRONMETRICS, Issue 8 2001
Olaf Berke
Abstract In geostatistics, spatial data will be analyzed that often come from irregularly distributed sampling locations. Interest is in modelling the data, i.e. estimating distributional parameters, and then to predict the phenomenon under study at unobserved sites within the corresponding sampling domain. The method of universal kriging for spatial prediction was introduced to cover the problem of spatial trend effects. This is done by incorporating linear trend models, e.g. polynomial functions of the spatial co-ordinates. However, universal kriging is sensitive to additive outliers. An outlier resistant method for spatial prediction is median polish kriging. Both methods have certain advantages but also some drawbacks. Here, universal kriging and median polish kriging will be combined to the robust spatial prediction method called modified median polish kriging. An example illustrates the method of modified median polish kriging along with piezometric-head data from the Wolfcamp,Aquifer. Copyright © 2001 John Wiley & Sons, Ltd. [source]

An outlier robust GARCH model and forecasting volatility of exchange rate returns

JOURNAL OF FORECASTING, Issue 5 2002
Beum-Jo Park
Abstract Since volatility is perceived as an explicit measure of risk, financial economists have long been concerned with accurate measures and forecasts of future volatility and, undoubtedly, the Generalized Autoregressive Conditional Heteroscedasticity (GARCH) model has been widely used for doing so. It appears, however, from some empirical studies that the GARCH model tends to provide poor volatility forecasts in the presence of additive outliers. To overcome the forecasting limitation, this paper proposes a robust GARCH model (RGARCH) using least absolute deviation estimation and introduces a valuable estimation method from a practical point of view. Extensive Monte Carlo experiments substantiate our conjectures. As the magnitude of the outliers increases, the one-step-ahead forecasting performance of the RGARCH model has a more significant improvement in two forecast evaluation criteria over both the standard GARCH and random walk models. Strong evidence in favour of the RGARCH model over other competitive models is based on empirical application. By using a sample of two daily exchange rate series, we find that the out-of-sample volatility forecasts of the RGARCH model are apparently superior to those of other competitive models. Copyright © 2002 John Wiley & Sons, Ltd. [source]

Additive Outlier Detection Via Extreme-Value Theory

JOURNAL OF TIME SERIES ANALYSIS, Issue 5 2006
Peter Burridge
Abstract., This article is concerned with detecting additive outliers using extreme value methods. The test recently proposed for use with possibly non-stationary time series by Perron and Rodriguez [Journal of Time Series Analysis (2003) vol. 24, pp. 193,220], is, as they point out, extremely sensitive to departures from their assumption of Gaussianity, even asymptotically. As an alternative, we investigate the robustness to distributional form of a test based on weighted spacings of the sample order statistics. Difficulties arising from uncertainty about the number of potential outliers are discussed, and a simple algorithm requiring minimal distributional assumptions is proposed and its performance evaluated. The new algorithm has dramatically lower level-inflation in face of departures from Gaussianity than the Perron,Rodriguez test, yet retains good power in the presence of outliers. [source]

Range Unit-Root (RUR) Tests: Robust against Nonlinearities, Error Distributions, Structural Breaks and Outliers

JOURNAL OF TIME SERIES ANALYSIS, Issue 4 2006
Felipe Aparicio
Abstract., Since the seminal paper by Dickey and Fuller in 1979, unit-root tests have conditioned the standard approaches to analysing time series with strong serial dependence in mean behaviour, the focus being placed on the detection of eventual unit roots in an autoregressive model fitted to the series. In this paper, we propose a completely different method to test for the type of long-wave patterns observed not only in unit-root time series but also in series following more complex data-generating mechanisms. To this end, our testing device analyses the unit-root persistence exhibited by the data while imposing very few constraints on the generating mechanism. We call our device the range unit-root (RUR) test since it is constructed from the running ranges of the series from which we derive its limit distribution. These nonparametric statistics endow the test with a number of desirable properties, the invariance to monotonic transformations of the series and the robustness to the presence of important parameter shifts. Moreover, the RUR test outperforms the power of standard unit-root tests on near-unit-root stationary time series; it is invariant with respect to the innovations distribution and asymptotically immune to noise. An extension of the RUR test, called the forward,backward range unit-root (FB-RUR) improves the check in the presence of additive outliers. Finally, we illustrate the performances of both range tests and their discrepancies with the Dickey,Fuller unit-root test on exchange rate series. [source]