使用 ARIMA 加性离群值模型(ARIMA-AO)对含离群值数据建模
统计方法学
2018-03-02 v1
摘要
本研究旨在讨论 ARIMA (p, d, q) 模型中含有加性离群值(AO)数据的检测与修正。数据与修正的检测过程采用 Box、Jenkins 和 Reinsel (1994) 推广的迭代程序。通过使用该方法,我们获得了拟合含 AO 数据的 ARIMA 模型,该模型在原 ARIMA 模型基础上加入了由回归方法迭代过程得到的系数。这表明预测误差率数据有所改善。
引用
@article{arxiv.1803.00257,
title = {Modeling Data Containing Outliers using ARIMA Additive Outlier (ARIMA-AO)},
author = {Ansari Saleh Ahmar and Suryo Guritno and Abdurakhman and Abdul Rahman and Awi and Alimuddin and Ilham Minggi and M. Arif Tiro and M. Kasim Aidid and Suwardi Annas and Dian Utami Sutiksno and S. Ahmar Dewi and H. Ahmar Kurniawan and A. Abqary Ahmar and Ahmad Zaki and Dahlan Abdullah and Robbi Rahim and Heri Nurdiyanto and Rahmat Hidayat and Darmawan Napitupulu and Janner Simarmata and Nuning Kurniasih and Leon Andretti Abdillah and Andri Pranolo and Haviluddin and Wahyudin Albra and A. Nurani M Arifin},
journal= {arXiv preprint arXiv:1803.00257},
year = {2018}
}
备注
13 pages