com.imsl.test.example.stat

Class ARMAOutlierIdentificationEx2

java.lang.Object

com.imsl.test.example.stat.ARMAOutlierIdentificationEx2

public class ARMAOutlierIdentificationEx2
extends Object

Performs outlier identification on an $\text{ARMA}(1,1)$ process contaminated by outliers.

This example generates a realization of an $\text{ARMA}(1,1)$ process via the formula $Y_t-0.8Y_{t-1}=10.0+a_t+0.5a_{t-1},\, t=1,\ldots,300,$ where $\{a_t\}$ is Gaussian white noise and $E[Y_t]=50.0$. An additive outlier with $\omega_1=4.5$ is added at time point $t=150$, and a temporary change outlier with $\omega_2=3.0$ is added at time point $t=200$.

See Also:

Code, Output

Constructor Summary

Constructors

Constructor and Description
ARMAOutlierIdentificationEx2()

Method Summary

Modifier and Type	Method and Description
static void	main(String[] args)

Methods inherited from class java.lang.Object

clone, equals, finalize, getClass, hashCode, notify, notifyAll, toString, wait, wait, wait

Constructor Detail

ARMAOutlierIdentificationEx2

public ARMAOutlierIdentificationEx2()

Method Detail

main

public static void main(String[] args)
                 throws Exception

Throws:

Exception