Outliers, structural shifts and heavy-tailed distributions in state space time series models
- Autores
- Abril, Juan Carlos
- Año de publicación
- 2002
- Idioma
- inglés
- Tipo de recurso
- artículo
- Estado
- versión publicada
- Descripción
- In this work a general method is developed for handling outliers, structural shifts and heavy-tailed distributions in linear state space time series models. The basic tool we use for dealing with outliers and structural shifts is to model observation or state error densities by a mixture of densities, one component of which is a Gaussian density with a large variance. The other component can be a Gaussian density, a non-Gaussian density such as Student’s t or it can itself be a Gaussian mixture. The underlying idea is to estimate the state vector by its posterior mode using linearisation, iteration and the Kalman filter and smoother.
Fil: Abril, Juan Carlos. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Tucumán; Argentina. Universidad Nacional de Tucumán. Facultad de Ciencias Económicas. Instituto de Investigaciones Estadísticas; Argentina - Materia
-
State Space
Outliers
Heavy Tails
Structural Shifts - Nivel de accesibilidad
- acceso abierto
- Condiciones de uso
- https://creativecommons.org/licenses/by-nc-sa/2.5/ar/
- Repositorio
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- Institución
- Consejo Nacional de Investigaciones Científicas y Técnicas
- OAI Identificador
- oai:ri.conicet.gov.ar:11336/105976
Ver los metadatos del registro completo
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Outliers, structural shifts and heavy-tailed distributions in state space time series modelsAbril, Juan CarlosState SpaceOutliersHeavy TailsStructural Shiftshttps://purl.org/becyt/ford/5.2https://purl.org/becyt/ford/5In this work a general method is developed for handling outliers, structural shifts and heavy-tailed distributions in linear state space time series models. The basic tool we use for dealing with outliers and structural shifts is to model observation or state error densities by a mixture of densities, one component of which is a Gaussian density with a large variance. The other component can be a Gaussian density, a non-Gaussian density such as Student’s t or it can itself be a Gaussian mixture. The underlying idea is to estimate the state vector by its posterior mode using linearisation, iteration and the Kalman filter and smoother.Fil: Abril, Juan Carlos. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Tucumán; Argentina. Universidad Nacional de Tucumán. Facultad de Ciencias Económicas. Instituto de Investigaciones Estadísticas; ArgentinaPakistan Journal of Statistics2002-12info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/105976Abril, Juan Carlos; Outliers, structural shifts and heavy-tailed distributions in state space time series models; Pakistan Journal of Statistics; Pakistan Journal of Statistics; 18; 1; 12-2002; 25-431012-9367CONICET DigitalCONICETenginfo:eu-repo/semantics/altIdentifier/url/http://www.pakjs.com/1985-to-2016/info:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-sa/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-10-22T11:18:35Zoai:ri.conicet.gov.ar:11336/105976instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-10-22 11:18:35.689CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse |
| dc.title.none.fl_str_mv |
Outliers, structural shifts and heavy-tailed distributions in state space time series models |
| title |
Outliers, structural shifts and heavy-tailed distributions in state space time series models |
| spellingShingle |
Outliers, structural shifts and heavy-tailed distributions in state space time series models Abril, Juan Carlos State Space Outliers Heavy Tails Structural Shifts |
| title_short |
Outliers, structural shifts and heavy-tailed distributions in state space time series models |
| title_full |
Outliers, structural shifts and heavy-tailed distributions in state space time series models |
| title_fullStr |
Outliers, structural shifts and heavy-tailed distributions in state space time series models |
| title_full_unstemmed |
Outliers, structural shifts and heavy-tailed distributions in state space time series models |
| title_sort |
Outliers, structural shifts and heavy-tailed distributions in state space time series models |
| dc.creator.none.fl_str_mv |
Abril, Juan Carlos |
| author |
Abril, Juan Carlos |
| author_facet |
Abril, Juan Carlos |
| author_role |
author |
| dc.subject.none.fl_str_mv |
State Space Outliers Heavy Tails Structural Shifts |
| topic |
State Space Outliers Heavy Tails Structural Shifts |
| purl_subject.fl_str_mv |
https://purl.org/becyt/ford/5.2 https://purl.org/becyt/ford/5 |
| dc.description.none.fl_txt_mv |
In this work a general method is developed for handling outliers, structural shifts and heavy-tailed distributions in linear state space time series models. The basic tool we use for dealing with outliers and structural shifts is to model observation or state error densities by a mixture of densities, one component of which is a Gaussian density with a large variance. The other component can be a Gaussian density, a non-Gaussian density such as Student’s t or it can itself be a Gaussian mixture. The underlying idea is to estimate the state vector by its posterior mode using linearisation, iteration and the Kalman filter and smoother. Fil: Abril, Juan Carlos. Consejo Nacional de Investigaciones Científicas y Técnicas. Centro Científico Tecnológico Conicet - Tucumán; Argentina. Universidad Nacional de Tucumán. Facultad de Ciencias Económicas. Instituto de Investigaciones Estadísticas; Argentina |
| description |
In this work a general method is developed for handling outliers, structural shifts and heavy-tailed distributions in linear state space time series models. The basic tool we use for dealing with outliers and structural shifts is to model observation or state error densities by a mixture of densities, one component of which is a Gaussian density with a large variance. The other component can be a Gaussian density, a non-Gaussian density such as Student’s t or it can itself be a Gaussian mixture. The underlying idea is to estimate the state vector by its posterior mode using linearisation, iteration and the Kalman filter and smoother. |
| publishDate |
2002 |
| dc.date.none.fl_str_mv |
2002-12 |
| dc.type.none.fl_str_mv |
info:eu-repo/semantics/article info:eu-repo/semantics/publishedVersion http://purl.org/coar/resource_type/c_6501 info:ar-repo/semantics/articulo |
| format |
article |
| status_str |
publishedVersion |
| dc.identifier.none.fl_str_mv |
http://hdl.handle.net/11336/105976 Abril, Juan Carlos; Outliers, structural shifts and heavy-tailed distributions in state space time series models; Pakistan Journal of Statistics; Pakistan Journal of Statistics; 18; 1; 12-2002; 25-43 1012-9367 CONICET Digital CONICET |
| url |
http://hdl.handle.net/11336/105976 |
| identifier_str_mv |
Abril, Juan Carlos; Outliers, structural shifts and heavy-tailed distributions in state space time series models; Pakistan Journal of Statistics; Pakistan Journal of Statistics; 18; 1; 12-2002; 25-43 1012-9367 CONICET Digital CONICET |
| dc.language.none.fl_str_mv |
eng |
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eng |
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info:eu-repo/semantics/altIdentifier/url/http://www.pakjs.com/1985-to-2016/ |
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info:eu-repo/semantics/openAccess https://creativecommons.org/licenses/by-nc-sa/2.5/ar/ |
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openAccess |
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https://creativecommons.org/licenses/by-nc-sa/2.5/ar/ |
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application/pdf application/pdf |
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Pakistan Journal of Statistics |
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Pakistan Journal of Statistics |
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reponame:CONICET Digital (CONICET) instname:Consejo Nacional de Investigaciones Científicas y Técnicas |
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dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar |
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