Simple detection of outlying short time series

Karioti, V; Caroni, C

dc.contributor.author	Karioti, V	en
dc.contributor.author	Caroni, C	en
dc.date.accessioned	2014-03-01T01:21:24Z
dc.date.available	2014-03-01T01:21:24Z
dc.date.issued	2004	en
dc.identifier.issn	0932-5026	en
dc.identifier.uri	https://dspace.lib.ntua.gr/xmlui/handle/123456789/16221
dc.subject	AR(1) models	en
dc.subject	Normal outlier tests	en
dc.subject	Short time series	en
dc.subject.classification	Statistics & Probability	en
dc.title	Simple detection of outlying short time series	en
heal.type	journalArticle	en
heal.identifier.primary	10.1007/BF02777227	en
heal.identifier.secondary	http://dx.doi.org/10.1007/BF02777227	en
heal.language	English	en
heal.publicationDate	2004	en
heal.abstract	Sets of relatively short time series arise in many situations. One aspect of their analysis may be the detection of outlying series. We examine the performance of standard normal outlier tests applied to the means, or to simple functions of the means, of AR(1) series, not necessarily of equal lengths. Although unequal lengths of series implies that the means have unequal variances, that are only known approximately, it is shown that nominal significance levels hold good under most circumstances. Thus a standard outlier test can usefully be applied, avoiding the complication of estimating the time series' parameters. The test's power is affected by unequal lengths, being higher when the slippage occurs in one of the longer series.	en
heal.publisher	SPRINGER-VERLAG	en
heal.journalName	Statistical Papers	en
dc.identifier.doi	10.1007/BF02777227	en
dc.identifier.isi	ISI:000220312900007	en
dc.identifier.volume	45	en
dc.identifier.issue	2	en
dc.identifier.spage	267	en
dc.identifier.epage	278	en