OUTLIER Statement

The ARIMA Procedure

OUTLIER Statement

OUTLIER options;

The OUTLIER statement applies to the model fitted in the preceding ESTIMATE statement. The following options are used in the OUTLIER statement:

TYPE = ADDITIVE | SHIFT | TEMP( d₁, ... , d_k )

The TYPE= option specifies the types of level shifts to search for. The default is TYPE= (ADDITIVE SHIFT), which requests searching for additive outliers and permanent level shifts. The option TEMP( d₁, ... , d_k ) requests searching for temporary changes in the level of durations d₁, ... , d_k. These options can also be abbreviated as AO, LS, and TC.

ALPHA= significance-level

The ALPHA= option specifies the significance level for tests in the OUTLIER statement. The default is 0.05.

SIGMA= ROBUST | MSE

The statistical tests performed during the outlier detection require an estimate of error variance. Using the SIGMA= option you can choose between two types of error variance estimates. SIGMA= MSE corresponds to the usual mean squared error (MSE) estimate, and SIGMA= ROBUST corresponds to a robust estimate of the error variance. The default is SIGMA= ROBUST.

MAXNUM= number

This option is used to limit the number of outliers to search. The default is MAXNUM= 5.

MAXPCT= number

This option is similar to MAXNUM= option. In the MAXPCT= option you can limit the number of outliers to search to a percentage of the series length. The default is MAXPCT= 2. When both of these options are specified, the smaller of the two search numbers is used.

The following examples illustrate the various possibilities for the OUTLIER statement.

   outlier;

This sets all the options to their default values, that is, it is equivalent to

   outlier type=(ao ls) alpha=0.05 sigma=robust 
           maxnum=5 maxpct=2;

The following statement requests a search for permanent level shifts and for temporary level changes of durations 6 and 12. The search is limited to at most three changes, and the significance level of the underlying tests is 0.001. MSE is used as the estimate of error variance.

   outlier type=(ls tc(6 12)) alpha=0.001 sigma=mse maxnum=3;

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