Official websites use .gov
A .gov website belongs to an official government organization in the United States.
Secure .gov websites use HTTPS
A lock (
) or https:// means you’ve safely connected to the .gov website. Share sensitive information only on official, secure websites.
Topics
Data & Maps
Surveys & Programs
Resource Library
Handling Structural Shifts, Outliers and Heavy-Tailed Distributions in State Space Time Series Models
Handling Structural Shifts, Outliers and Heavy-Tailed Distributions in State Space Time Series Models
Working Paper Number RR93-03
Summary
Time series containing abrupt structural shifts or outliers or both are considered. Techniques are developed for handling these using mixtures of densities, one component of which is a Gaussian density with a large variance. State space models are fitted to the series. The state vectors are estimated by the mode of their posterior density given the observations. The mode is found by Gauss-Newton iteration using Kalman filtering and smoothing. Three approximations to the likelihood function for estimating the hyperparameters are given. The techniques are illustrated by applying them to simulated and real series. The treatment is extended to deal with heavy-tailed densities.
Others in Series
Working Paper
Survival Analysis for the Survey of Income and Program Participation
Survival Analysis for the Survey of Income and Program Participation
Working Paper
A Reduced-Size Transportation Algorithm for Maximizing the Overlap ...
A Reduced-Size Transportation Algorithm for Maximizing the Overlap Between Surveys
Working Paper
The Overfitting Principles Supporting AIC
The Overfitting Principles Supporting AIC
Related Information
WORKING PAPER
Statistical Research Reports and Studies
Page Last Revised - October 28, 2021
✕
Is this page helpful?
Yes
No
Yes
No✕
NO THANKS
255 characters maximum
255 characters maximum reached
255 characters maximum reached
✕
Thank you for your feedback.
Comments or suggestions?
Comments or suggestions?
