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首页> 外文期刊>American journal of applied sciences >Specification of Dynamic Time Series Model with Volatile-Outlier Input Series
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Specification of Dynamic Time Series Model with Volatile-Outlier Input Series

机译：具有挥发性离群值输入序列的动态时间序列模型的规范

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Problem statement: This study considers the precision of the output series generated from aberrant input series in the context of the distribution of the dynamic estimate and also investigate relative merit of analyzing residuals with outliers for a volatility input dynamic model. Approach: The study developed a methodology for checking volatility at every time point and evaluates the influence of volatility and outliers on both the estimates of the fitted Dynamic Model (DM) and test criterion for model adequacy. Results: Both the analytical and empirical findings in this study reveal that outliers affect significantly the estimates of the dynamic model and there was a masking effect of volatility with outliers in the series and therefore jeopardizes test criterion for model adequacy because outlier series were embedded in its computation. Conclusion: The analysis of outlier in dynamic model specification can involve the determination of volatility, most especially in economic series for which causal relationship can proffer some evidence based solutions to decision makers on pressing economic issues. The model specified in this study has shown the influence of outlier embedded with volatility in empirical study on dynamic function modelling. In the first instance, outlier significantly affects the estimates of the model, apart from this; the model residual is affected, these have a combine effect on the precision of output generated.
机译：问题陈述：本研究考虑了动态估计分布情况下从异常输入序列生成的输出序列的精度，并且还针对波动率输入动态模型研究了用离群值分析残差的相对优点。方法：研究开发了一种在每个时间点检查波动率的方法，并评估了波动率和异常值对拟合动态模型（DM）的估计值和模型适当性测试标准的影响。结果：本研究的分析和经验发现均表明，离群值显着影响动态模型的估计，并且该系列离群值具有波动性的掩盖效应，因此由于离群值系列已嵌入到其模型中，因此危害了模型适当性的测试标准。计算。结论：动态模型规范中异常值的分析可能涉及波动性的确定，尤其是在经济因数序列中，因果关系可以为决策者提供紧迫的经济问题的基于证据的解决方案。本研究中指定的模型已在动态函数建模的经验研究中显示了离群值嵌入波动率的影响。首先，离群值显着影响模型的估计。模型残差会受到影响，这些因素会对生成的输出精度产生综合影响。

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