Communications in Statistics Part B: Simulation and Computation

Shrinkage estimation of contemporaneous outliers in concurrent time series

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Contemporaneous outlier blocks (additive or reallocation) caused by special events frequently occur in repeated business time series. When the time series have strong inter-series dependence, shrinkage estimation techniques provide improved estimates of the time series model parameters and of the outlier block. A bootstrap estimate of the covariance matrix of the vector of outlier magnitudes enables us to incorporate the dependence and obtain the shrinkage estimates.