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A Comparison of Two Alternative Approaches to Modeling Level Shifts in the Presence of Outliers.
- Source :
- Communications in Statistics: Simulation & Computation; Aug2004, Vol. 33 Issue 3, p661-671, 11p
- Publication Year :
- 2004
-
Abstract
- We study alternative models for capturing abrupt structural changes (level shifts) in a times series. The problem is confounded by the presence of transient outliers. We compare the performance of non-Gaussian time-varying parameter models and multiprocess mixture models within a Monte Carlo experimental setup. Our findings suggest that once we incorporate shocks with thick-tailed probability distributions, the superiority of the multiprocess mixture models over the time-varying parameter models, reported in an earlier study, disappears. The behavior of the two models, both in adapting to level shifts and in reacting to transient outliers, is very similar. [ABSTRACT FROM AUTHOR]
Details
- Language :
- English
- ISSN :
- 03610918
- Volume :
- 33
- Issue :
- 3
- Database :
- Complementary Index
- Journal :
- Communications in Statistics: Simulation & Computation
- Publication Type :
- Academic Journal
- Accession number :
- 14807021
- Full Text :
- https://doi.org/10.1081/SAC-200033317