eldorado.tu-dortmund.de/server/api/core/bitstreams/ec70c0a0-8e2b-43f2-9ebc-0b14a2bc5b35/content
outliersTR.dvi
model (1) and notice that by successive
substitutions we obtain that
λt = β0 1 − αt
1
1 − α1 + αt
1λ0 + β1
t−1 ∑
i=0
αi 1Yt−(i+1).
5
Similarly,
κt = β0 1 − αt
1
1 − α1 + αt
1λ0 + β1
t−1 ∑
i=0
αi 1Zt−(i+1) [...] 9
TS 1.4 5.4 9.9 1.3 4.7 9.6 0.5 4.9 9.6 200
LS 0.7 4.2 8.5 1 3.1 8.2 1.1 3.3 8.1
SO 0.8 4.9 10.1 0.9 5.2 10.3 0.8 3.6 8.2
TS 1.4 4.6 9.2 1.1 4.5 8.5 1.4 4.6 8.3 500
LS 0.6 3.4 7 1.1 4.5 9 0.7 3.9 8.3 [...] ∑t−1
i=0 αi 1Ct−(i+1) + ν
1 − αt−τ+1 1
1 − α1 , t ≥ τ .
(9)
As a further remark, note that any INGARCH(1,1) model has identical second order properties as the
following ARMA(1,1) model
Yt − µ − (β1 + α1)(Yt−1 …
