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http://dx.doi.org/10.7232/JKIIE.2012.38.1.017

An Improved Iterative Procedure for Outlier Detection in Time Series  

Bui, Anh Tuan (Department of Industrial and Management Engineering, Pohang University of Science and Technology)
Jun, Chi-Hyuck (Department of Industrial and Management Engineering, Pohang University of Science and Technology)
Publication Information
Journal of Korean Institute of Industrial Engineers / v.38, no.1, 2012 , pp. 17-24 More about this Journal
Abstract
We address some potential problems with the existing procedures of outlier detection in time series. Also we propose modifications in estimating model parameters and outlier effects in order to reduce the number of tests and to increase the detection accuracy. Experiments with some artificial data sets show that the proposed procedure significantly reduces the number of tests and enhances the accuracy of estimated parameters as well as the detection power.
Keywords
Additive Outlier; Innovational Outlier; ARMA;
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