Additive and innovational outliers in autoregressive time series: a unified bayesian approach

M. M. Barbieri
A Bayesian approach is adopted to the analysis of autoregressive time series subject to outliers. Additive and innovational outliers are considered as particular cases of a mixed generating model, which allows one to handle situations in which there may be an unknown number of outliers of unknown type. In the paper an exact form of the likelihood function is used and stationarity of the model is enforced. The computational problems are solved using a version...