Outliers detection in state-space model using indicator saturation approach
Structural changes that occur due to outliers may reduce the accuracy of an estimated time series model, shifting the mean distribution and causing forecast failure. This study used general-to-specific approach to detect outliers via indicator saturation approach in the local level model framework....
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Main Authors: | Che Rose, Farid Zamani (Author), Ismail, Mohd Tahir (Author), Tumin, Mohd Hanafi (Author) |
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Other Authors: | School of Mathematical Sciences, Universiti Sains Malaysia (Contributor) |
Format: | EJournal Article |
Published: |
Institute of Advanced Engineering and Science,
2021-06-01.
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Subjects: | |
Online Access: | Get fulltext |
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