Unit Root Testing for the Time Series Model with Additive Outlier: A Bayesian Approach

The presence of outliers in time series may have serious implications in the estimation of parameters or testing of hypothesis. The analysis of time series in the presence of outlier is not much explored using Bayesian framework. The present paper deals with the Bayesian analysis of an autoregressive model involving linear time trend and contaminated by additive outlier. The issue of unit root hypothesis is dealt in Bayesian set-up and posterior odds ratio for the unit root hypothesis has been derived under appropriate prior assumptions. The numerical illustration is carried out to observe the impact of presence of an additive outlier on posterior odds ratio for unit root hypothesis.

並列關鍵字

Autoregressive model ； Outlier ； Unit root hypothesis ； Prior distribution ； Posterior odds ratio

被引用紀錄

Chien, Y. L. (2015). 基於機器學習方法之HTTP 串流速率調節機制 [master's thesis, National Taiwan University]. Airiti Library. https://doi.org/10.6342/NTU.2015.01416

Wang, C. K. (2004). 點對點網路上拓樸相關之分散式叢集技術 [master's thesis, Yuan Ze University]. Airiti Library. https://www.airitilibrary.com/Article/Detail?DocID=U0009-0112200611290476

Hsu, C. H. (2013). 基於超像素追蹤的十字路口車輛軌跡分析 [master's thesis, National Taipei Uinversity]. Airiti Library. https://www.airitilibrary.com/Article/Detail?DocID=U0023-0609201311545600

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Unit Root Testing for the Time Series Model with Additive Outlier: A Bayesian Approach

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