detection of outliers and patches in bilinear time series models检测异常值和补丁的双线性时间序列模型.pdfVIP

Hindawi Publishing Corporation Mathematical Problems in Engineering Volume 2010, Article ID 580583, 10 pages doi:10.1155/2010/580583 Research Article Detection of Outliers and Patches in Bilinear Time Series Models Ping Chen, Ling Li, Ye Liu, and Jin-Guan Lin Department of Mathematics, Southeast University, Nanjing 210096, China Correspondence should be addressed to Jin-Guan Lin, jglin@ Received 10 January 2010; Accepted 10 February 2010 Academic Editor: Ming Li Copyright q 2010 Ping Chen et al. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited. We propose a Gibbs sampling algorithm to detect additive outliers and patches of outliers in bilinear time series models based on Bayesian view. We first derive the conditional posterior distributions, and then use the results of first Gibbs run to start the second adaptive Gibbs sampling. It is shown that our procedure could reduce possible effects on masking and swamping. At last, some simulations are performed to demonstrate the efficacy of detection and estimation by Monte Carlo methods. 1. Introduction Dynamic systems or engineering time series observations 1 are often perturbed by some interrupting phenomena which generate aberrant data. They may be due to some unusual events, such as sudden disturbed factor, noise, and even recording errors. Such values are usually referred to as outliers, which may be isolated or of patch. Because outliers and patches in a time series can have adverse effects in data analysis, which maybe make the resultant inference unreliable or even invalid, it is important to detect and remove such outlier’s effects. Some authors have consid