ARMAOutlierIdentification Class |
Namespace: Imsl.Stat
The ARMAOutlierIdentification type exposes the following members.
Name | Description | |
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ARMAOutlierIdentification |
Constructor for ARMAOutlierIdentification.
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Name | Description | |
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Compute |
Detects and determines outliers and simultaneously estimates the model
parameters for the given time series.
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ComputeForecasts |
Computes forecasts, associated probability limits and
weights for an outlier contaminated time series whose underlying outlier free
series obeys a general seasonal or non-seasonal ARMA model.
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Equals | Determines whether the specified object is equal to the current object. (Inherited from Object.) | |
Finalize | Allows an object to try to free resources and perform other cleanup operations before it is reclaimed by garbage collection. (Inherited from Object.) | |
GetAR |
Returns the final autoregressive parameter estimates.
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GetDeviations |
Returns the deviations used for calculating the
forecast confidence limits.
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GetForecast |
Returns forecasts for the original outlier contaminated series.
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GetHashCode | Serves as a hash function for a particular type. (Inherited from Object.) | |
GetMA |
Returns the final moving average parameter estimates.
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GetOmegaWeights |
Returns the weights for the
detected outliers.
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GetOutlierFreeForecast |
Returns forecasts for the outlier free series.
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GetOutlierFreeSeries |
Returns the outlier free series.
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GetOutlierStatistics |
Returns the outlier statistics.
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GetPsiWeights |
Returns the weights of the infinite order moving average
form of the model.
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GetResidual |
Returns the residuals.
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GetTauStatistics |
Returns the t value for each detected outlier.
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GetType | Gets the Type of the current instance. (Inherited from Object.) | |
MemberwiseClone | Creates a shallow copy of the current Object. (Inherited from Object.) | |
ToString | Returns a string that represents the current object. (Inherited from Object.) |
Name | Description | |
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ADDITIVE |
Indicates detection of an additive outlier.
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INNOVATIONAL |
Indicates detection of an innovational outlier.
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LEVEL_SHIFT |
Indicates detection of a level shift outlier.
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TEMPORARY_CHANGE |
Indicates detection of a temporary change outlier.
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UNABLE_TO_IDENTIFY |
Indicates detection of an outlier that cannnot be categorized.
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Name | Description | |
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AccuracyTolerance |
The tolerance value controlling the accuracy of the parameter estimates.
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AIC |
Returns Akaike's information criterion (AIC).
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AICC |
Returns Akaike's Corrected Information Criterion (AICC).
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BIC |
Returns the Bayesian Information Criterion (BIC).
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Confidence |
The confidence level for calculating confidence
limit deviations via method GetDeviations.
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Constant |
Returns the constant parameter estimate.
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CriticalValue |
The critical value used as a threshold during outlier detection.
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Delta |
The dampening effect parameter.
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NumberOfOutliers |
Returns the number of outliers detected.
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RelativeError |
The stopping criterion for use in the nonlinear equation solver.
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ResidualStandardError |
Returns the residual standard error of the outlier free series.
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Consider a univariate time series that can be described by the following multiplicative seasonal ARIMA model of order :
Here, . B is the lag operator, , is a white noise process, and denotes the mean of the series .Outlier detection and parameter estimation
In general, is not directly observable due to the influence of outliers. Chen and Liu (1993) distinguish between four types of outliers: innovational outliers (IO), additive outliers (AO), temporary changes (TC) and level shifts (LS). If an outlier occurs as the last observation of the series, then Chen and Liu's algorithm is unable to determine the outlier's classification. In class ARMAOutlierIdentification, such an outlier is called a UI (unable to identify) and is treated as an innovational outlier.
In order to take the effects of multiple outliers occurring at time points into account, Chen and Liu consider the following model:
Here, is the observed outlier contaminated series, and and denote the magnitude and dynamic pattern of outlier j, respectively. is an indicator function that determines the temporal course of the outlier effect, otherwise. Note that operates on via .The last formula shows that the outlier free series can be obtained from the original series by removing all occurring outlier effects:
The different types of outliers are characterized by different values for :Class ARMAOutlierIdentification is an implementation of Chen and Liu's algorithm. It determines the coefficients in and and the outlier effects in the model for the observed series jointly in three stages. The magnitude of the outlier effects is determined by least squares estimates. Outlier detection itself is realized by examination of the maximum value of the standardized statistics of the outlier effects. For a detailed description, see Chen and Liu's original paper (1993).
Intermediate and final estimates for the coefficients in and are computed by the Compute methods from classes ARMA and ARMAMaxLikelihood. If the roots of or lie on or within the unit circle, then the algorithm stops with an appropriate exception. In this case, different values for p and q should be tried.
Forecasting
From the relation between original and outlier free series,
it follows that the Box-Jenkins forecast at origin t for lead time l, , can be computed as Therefore, computation of the forecasts for is done in two steps:Step 1: Computation of the forecasts for the outlier free series
Since
where the Box-Jenkins forecast at origin t for lead time l, , can be computed recursively as Here, andStep 2: Computation of the forecasts for the original series by adding the multiple outlier effects to the forecasts for
The formulas for for the different types of outliers are as follows:
Innovational outlier (IO)
Additive outliers (AO)
Level shifts (LS)
Temporary changes (TC)
Assuming the outlier occurs at time point , the outlier impact is therefore:Innovational outliers (IO)
Additive outliers (AO)
Level shifts (LS)
Temporary changes (TC)
From these formulas, the forecasts can be computed easily. The percent probability limits for and are given by where is the percentile of the standard normal distribution, is an estimate of the variance of the random shocks, and the weights are the coefficients in For a detailed explanation of these concepts, see chapter 5:"Forecasting" in Box, Jenkins and Reinsel (1994).