outidentify {tsapp}

outidentify performs one iteration of Wei's iterative procedure to identify impact, locations and type of outliers in arma processes

Description

outidentify performs one iteration of Wei's iterative procedure to identify impact, locations and type of outliers in arma processes

Usage

outidentify(x, object, alpha = 0.05, robust = FALSE)

Arguments

x

vector, the time series

object

output of a model fit with the function arima (from stats)

alpha

the level of the tests for deciding which value is to be considered an outlier

robust

logical, should the standard error be computed robustly?

Value

out list with elements

outlier

matrix with time index (ind), type of outlier (1 = AO, 2 = IO) and value of test statistic (lambda)

arima.out

output of final arima model where the outliers are incorporated as fixed regressors

Examples

data(SPRUCE)
out <- arima(SPRUCE,order=c(2,0,0))
out2 <- outidentify(SPRUCE,out,alpha=0.05, robust = FALSE)