2000-07-01Buch DOI: 10.18452/3395
Leave-k-out Diagnostics in State Space Models
The paper derives an algorithm for computing leave-k-out diagnostics for the detection of patches of outliers for stationary and non-stationary state space models with regression effects. The algorithm is based on a reverse run of the Kalman filter on the smoothing errors and is both efficient and easy to implement. An illustration concerning the US index of industrial production for Textiles proves the effectiveness of multiple deletion diagnostics in unmasking clusters of outlying observations.
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Is Part Of Series: Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes - 74, SFB 373 Papers, ISSN:1436-1086