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