Detecting outlying series in sets of short time series

Karioti, V; Caroni, C

dc.contributor.author	Karioti, V	en
dc.contributor.author	Caroni, C	en
dc.date.accessioned	2014-03-01T01:17:41Z
dc.date.available	2014-03-01T01:17:41Z
dc.date.issued	2002	en
dc.identifier.issn	0167-9473	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/14626
dc.subject	AR(1) model	en
dc.subject	Likelihood ratio tests	en
dc.subject	Normal outlier tests	en
dc.subject	Outliers	en
dc.subject	Short time series	en
dc.subject.classification	Computer Science, Interdisciplinary Applications	en
dc.subject.classification	Statistics & Probability	en
dc.subject.other	Approximation theory	en
dc.subject.other	Computer simulation	en
dc.subject.other	Data reduction	en
dc.subject.other	Mathematical models	en
dc.subject.other	Likelihood ratio tests	en
dc.subject.other	Time series analysis	en
dc.subject.other	time series analysis	en
dc.title	Detecting outlying series in sets of short time series	en
heal.type	journalArticle	en
heal.identifier.primary	10.1016/S0167-9473(01)00078-0	en
heal.identifier.secondary	http://dx.doi.org/10.1016/S0167-9473(01)00078-0	en
heal.language	English	en
heal.publicationDate	2002	en
heal.abstract	The standard methods of time-series analysis, widely applied in many disciplines, tend to require long series, yet many situations give rise to several or many short time series. The existing literature on such data focuses on testing and estimating serial correlation. Another interesting aspect of this situation is whether any series is an outlier in relation to the others. In this paper, some models for sets of short time series are described and likelihood ratio tests are derived in Order to detect if the mean level of a series is an outlier. Through a simulation study, the critical values of the tests are determined. The powers of the tests are computed for selected sample sizes and numbers of series. Their performance is compared to simple approximate tests based on standard outlier tests for the normal distribution applied to the set of means of the series. (C) 2002 Elsevier Science B.V. All rights reserved.	en
heal.publisher	ELSEVIER SCIENCE BV	en
heal.journalName	Computational Statistics and Data Analysis	en
dc.identifier.doi	10.1016/S0167-9473(01)00078-0	en
dc.identifier.isi	ISI:000176133700008	en
dc.identifier.volume	39	en
dc.identifier.issue	3	en
dc.identifier.spage	351	en
dc.identifier.epage	364	en