HOME JOURNALS CONTACT

Journal of Applied Sciences

Year: 2002 | Volume: 2 | Issue: 9 | Page No.: 912-915
DOI: 10.3923/jas.2002.912.915
The Effect of Outliers on the Performance of Order Selection Criteria for Short Time Series
Zazli Chik

Abstract: The performance of various order selection criteria on short time series with the presence of outliners will be investigated. In order to reduce the influence of outliers, robust order selection criteria were introduced and their performance investigation. The results for order estimation for short time series with innovation outliers using least squares were identical to the results obtained for the case without outliers. Overall, the Bayesian modified of the AIC criterion, BIC gave the results. The robust order selection criteria did not perform well.

Fulltext PDF

How to cite this article
Zazli Chik , 2002. The Effect of Outliers on the Performance of Order Selection Criteria for Short Time Series. Journal of Applied Sciences, 2: 912-915.

Keywords: Innovation qutliers, additive ouliers and order selection

REFERENCES
  • Abraham, B. and A. Chuang, 1993. Expectation-maximization algorithms and the estimation of time series models in the presence of outliers. J. Time Ser. Anal., 14: 221-234.
    CrossRef    Direct Link    

  • Abraham, B. and A. Chuang, 1989. Outlier detection and time series modeling. Technometrics, 31: 241-248.
    CrossRef    Direct Link    

  • Balke, N.S., 1993. Detecting level shifts in time series. J. Bus. Econ. Statistics, 11: 81-92.
    Direct Link    

  • Chang, I., G.C. Tiao and C. Chen, 1988. Estimation of time series parameters in the presence of outliers. Technometrics, 30: 193-204.
    Direct Link    

  • Chen, C. and L.M. Liu, 1993. Forecasting time series with outliers. J. Forecasting, 12: 13-35.

  • Chik, Z., 2002. Performance of order selection criteria for short time series. J. Applied Sci., 2: 783-788.
    CrossRef    Direct Link    

  • Chuang, A. and B. Abraham, 1989. Comparison of parameter estimation methods in time series with outliers: A simulation study. ASA Proceedings Business and Economic Statistic London.

  • Denby, L. and R.D. Martin, 1979. Robust estimation of the first-order autoregressive parameter. J. Am. Stat. Assoc., 74: 140-146.
    Direct Link    

  • Fox, A.J., 1972. Outliers in time series. J. R. Statistic Soc. Ser. B, 43: 350-363.
    Direct Link    

  • Hogg, R.V., 1979. An Introduction to Robust Estimation, in Robustness in Statistics. Academic Press, London

  • Martin, R.D., 1979. Robust Estimation for Time Series Autoregression. Academic Press, London

  • Martin, R.D., 1980. Robust Estimation of Autoregessive Models, in Direction in Time Series. Institute of Mathematical Statistics, New York

  • Tsay, R.S., 1986. Time series model specification in the presence of outliers. J. Am. Stat. Assoc., 81: 132-141.
    CrossRef    Direct Link    

  • Wu, L.S.Y., J.R.M. Hoskingand and N. Ravishankar, 1993. Reallocation outliers in time series. Applied Statistic, 42: 301-313.
    Direct Link    

    • © Science Alert. All Rights Reserved