Giorgio Garziano has an introduction to outlier detection and intervention analysis using R:

Now, we implement a similar representation of the transient change outlier by taking advantage of the arimax() function within the TSA package. The arimax() function requires to specify some ARMA parameters, and that is done by capturing the seasonality as discussed in ref. [1]. Further, the transient change is specified by means of

xtransfandtransferinput parameters. Thextransfparameter is a matrix with each column containing a covariate that affects the time series response in terms of an ARMA filter of order (p,q). For our scenario, it provides a value equal to 1 at the outliers time index and zero at others. Thetransferparameter is a list consisting of the ARMA orders for each transfer covariate. For our scenario, we specify an AR order equal to 1.

Check it out.

Kevin Feasel

2017-12-05

Data Science, R

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