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Asian Journal of Scientific Research
  Year: 2008 | Volume: 1 | Issue: 2 | Page No.: 130-137
DOI: 10.3923/ajsr.2008.130.137
Detection of Outliers in Time Series Data: A Frequency Domain Approach
O.I. Shittu and D.K. Shangodoyin

We consider the identification and detection of outliers in frequency domain using the spectral method. By assuming both the additive and multiplicative effect of outliers on a series, the parameters of the model were estimated using the maximum likelihood method with a view to measuring the effect of the suspected outlier on the parameter of the series. The occurrence of outliers has led to a shift in the phase and amplitude of the Fourier series thus affected the periodogram estimates. Further more, detection of aberrant observations is more exact in the frequency domain than in the time domain.
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How to cite this article:

O.I. Shittu and D.K. Shangodoyin, 2008. Detection of Outliers in Time Series Data: A Frequency Domain Approach. Asian Journal of Scientific Research, 1: 130-137.

DOI: 10.3923/ajsr.2008.130.137






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