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Acta Mathematica Vietnamica

ON OUTLIER DETECTION IN MULTIVARIATE TIME SERIES

JEAN-MARIE HELBLING, ROBERT CLÉROUX

Abstract

This paper deals with the detection of outliers in multivariate time series models. The different detection methods found in the literature are reviewed and a new one is suggested. It is based on the coefficient of vector autocorrelation. We obtain its influence function which is used in a heuristic for detecting outliers. Then the distribution of the influence function is obtained and used for testing the hypothesis of presence of outliers.