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Detection of outliers in bivariate time series data |
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| Authors: | Ravindra Khattree Dayanand N Naik |
| Institution: | 1. Department of Statistics Mathematical Sciences Division , North Dakota State University , Fargo, ND, 58105;2. Department of Mathematics and Statistics , Old Dominion University , Norfolk, VA, 235C |
| Abstract: | In this article, we use the influence function matrix of auto and cross-correlations of a bivariate (multivariate) time series for detecting the outliers. The multivariate analog of the graphical method of Chernick et. al. (1982), to detect outliers and partial outliers is presented. A simulation study illustrating the method is also given. |
| Keywords: | Auto Correlations Cross-Correlation Influence Function matrixs Outliers Partial Outliers Stationaru Bovaroate time Series Fisher's z-trans formation |