Tests for uncharacteristic changes in time series data and the effects of outliers on forecasts

The thesis deals with some of the anomalies,that affect the predictive performance of univariate time series. This project should help to improve the forecasts made and should also assist those engaged in time series forecasting in real life situations in industry,government and elsewhere. The problem of testing a set of data for outliers is not new in statistics,methods having been proposed for the general linear model. However, there are very few papers on testing time series data for outliers. The greater part of the thesis is concerned with the effects of outliers on forecasts, statistical methods of detection of outliers and the comparison of these methods. Applications of these methods in real life situations are also considered. A subsidiary part of the thesis is concerned with the shift in the level of the series type of anomaly. Very few papers are published. These papers are reviewed. Tests of detection of this type of anomaly are proposed. The final section considers the contribution made, the findings of the work and areas for further research.

Name dc:type.qualificationname

phd

Level dc:type.qualificationlevel

doctoral

Grantor dc:publisher.institution

City of London Polytechnic

Year dc:date.issued

1987

Author dc:creator

• Giziaki, Ernestini

• 510 Mathematics

Dc Identifier Grantnumber

N/A

OAI identifier oai:identifier

oai:repository.londonmet.ac.uk:3115