outidentify: 'outidentify' performs one iteration of Wei's iterative...

In tsapp: Time Series, Analysis and Application

Description

outidentify performs one iteration of Wei's iterative procedure to identify impact, locations and type of outliers in arma processes

Usage

outidentify(x, object, alpha = 0.05, robust = FALSE)

Arguments

x	vector, the time series
object	output of a model fit with the function arima (from stats)
alpha	the level of the tests for deciding which value is to be considered an outlier
robust	logical, should the standard error be computed robustly?

Value

out list with elements

outlier	matrix with time index (ind), type of outlier (1 = AO, 2 = IO) and value of test statistic (lambda)
arima.out	output of final arima model where the outliers are incorporated as fixed regressors

Examples

data(SPRUCE)
out <- arima(SPRUCE,order=c(2,0,0))
out2 <- outidentify(SPRUCE,out,alpha=0.05, robust = FALSE)

tsapp documentation built on Oct. 30, 2021, 5:08 p.m.