outidentify function

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

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?

Returns

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)