Please use this identifier to cite or link to this item: http://repositorio.unicamp.br/jspui/handle/REPOSIP/75006
Type: Artigo de periódico
Title: THE EFFECT OF ADDITIVE OUTLIERS ON THE ESTIMATES FROM AGGREGATED AND DISAGGREGATED ARIMA MODELS
Author: HOTTA, LK
Abstract: Assume that the observed series follows an ARIMA process, and that the forecaster is only interested in predicting aggregated values. In this case the aggregate series also follows an ARIMA process and the prediction could be done using either the disaggregate or the aggregate models. We derive the approximate expected values of the estimates of the model coefficients and of the innovation variances in the presence of a single additive outlier. The approximations are also checked through simulations. Our conclusion is that the approximation is good, provided the size of the series is not too small, and that the additive outlier can have a stronger effect on the disaggregate model than on the aggregate model. An empirical analysis is presented using the international airline passengers series.
Subject: ESTIMATING AGGREGATED MODELS
ADDITIVE OUTLIERS
EFFECT OF ADDITIVE OUTLIERS
FORECASTING AGGREGATED OBSERVATION
Country: Holanda
Editor: Elsevier Science Bv
Rights: fechado
Identifier DOI: 10.1016/0169-2070(93)90056-S
Date Issue: 1993
Appears in Collections:Artigos e Materiais de Revistas Científicas - Unicamp

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