Outlier detections in autoregressive models

McQuarrie, Allan D., Tsai, Chih-Ling . Journal of Computational and Graphical Statistics 2003. 12 (2) :450-471

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Bibtex

@article{CIS-185503,
  Author = {McQuarrie, Allan D. and Tsai, Chih-Ling},
  Title = {Outlier detections in autoregressive models},
  Journal = {Journal of Computational and Graphical Statistics},
  Volume = {12},
  Number = {2},
  Year = {2003},
  Pages = {450--471},
  Keywords = {Robust estimator, Model selection, Additive outlier, innovation outlier}
}

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