[Statlist] Research Seminar in Statistics *FRIDAY 16 NOVEMBER 2018* GSEM, University of Geneva

[gsem-support-instituts]

Dear All,

We are pleased to invite you to our next Research Seminar.

Looking forward to seeing you

Organizers :                                                                                   
E. Cantoni - S. Engelke - D. La Vecchia - E. Ronchetti
S. Sperlich - F. Trojani - M.-P. Victoria-Feser

FRIDAY 16 NOVEMBER 2018 at 11:15am, Uni-Mail M 5220

Bayesian outlier detection in non-Gaussian AutoRegressive time series
Brendan MCCABE - University of Liverpool, UK

ABSTRACT:

'This work investigates outlier detection and modelling in non Gaussian autoregressive time series models with margins in the class of a convolution closed parametric family. This framework allows for a wide variety of models for count and positive data types. The paper investigates additive outliers which do not enter the dynamics of the process but whose presence may adversely influence statistical inference based on the data.

The Bayesian approach proposed here allows one to estimate, at each time point, the probability of an outlier occurrence and its corresponding size thus identifying the observations that require further investigation. The methodology is illustrated using simulated and observed data sets.'


Visit the website: https://www.unige.ch/gsem/en/research/seminars/rcs/