Using influence function matrix as outlier detecting tool based on pooled serial correlation coefficients
Using influence function matrix as outlier detecting tool based on pooled serial correlation coefficients
Author(s): S.R.T. Moeng, D. K. Shangodoyin, P.M. KgosiSubject(s): National Economy, Financial Markets
Published by: Editura Universităţii »Alexandru Ioan Cuza« din Iaşi
Keywords: Outliers; Critical values; ACF; PACF; IACF and influence function;
Summary/Abstract: In this paper, we incorporated auto-correlation function (ACF), partial auto-correlation function (PACF) and inverse auto-correlation function (IACF) into the influence function as a graphical tool for detecting outliers. Depending on the number of positive and negative values of the influence function based on critical values obtained for different lags an observation is identify as outlier. Both the simulated data and Botswana meat sales data confirms the efficacy of using the pooled correlation coefficients in influence function matrix as outlier detection device.
Journal: Analele Ştiinţifice ale Universităţii »Alexandru Ioan Cuza« din Iaşi. Ştiinţe economice
- Issue Year: 56/2009
- Issue No: 1
- Page Range: 576-585
- Page Count: 10
- Language: English
