Resources

Automatic Outlier Detection

/*--------------------------------------------------------------

                    SAS Sample Library

        Name: x12ex05.sas
 Description: Example program from SAS/ETS User's Guide,
              The X12 Procedure
       Title: Automatic Outlier Detection
     Product: SAS/ETS Software
        Keys: seasonal adjustment of time series
        PROC: X12
       Notes:

--------------------------------------------------------------*/

data sales;
   set sashelp.air;
   sales = air;
   date = intnx( 'month', '01sep78'd, _n_-1 );
   format date monyy.;
run;


title 'Automatic Outlier Identification';
proc x12 data=sales date=date;
   var sales;
   transform function=log;
   arima model=( (0,1,1)(0,1,1) );
   outlier;
   estimate;
   x11;
   output out=nooutlier a1 b1 d10;
run ;

proc x12 data=sales date=date;
   var sales;
   transform function=log;
   arima model=((0,1,1) (0,1,1));
   outlier cv=3.3;
   estimate;
   x11;
   output out=outlier(obs=50) a1 a8  a8ao a8ls b1 d10;
run;

proc print data=outlier(obs=50);
run;

proc sgplot data=outlier;
   series x=date y=sales_A1 / name='A1' markers
                              markerattrs=(color=red symbol='circle')
                              lineattrs=(color=red);
   series x=date y=sales_B1 / name='B1' markers
                              markerattrs=(color=black symbol='asterisk')
                              lineattrs=(color=black);
   yaxis label='Original and Outlier Adjusted Time Series';
run;

data both;
   merge nooutlier(rename=(sales_D10=unadj_D10)) outlier;
run;

title 'Results of Outlier Identification on Final Seasonal Factors';
proc sgplot data=both;
   series x=date y=unadj_D10 / name='unadjusted' markers
                               markerattrs=(color=red symbol='circle')
                               lineattrs=(color=red)
                               legendlabel='Unadjusted for Outliers';
   series x=date y=sales_D10 / name='adjusted' markers
                               markerattrs=(color=blue symbol='asterisk')
                               lineattrs=(color=blue)
                               legendlabel='Adjusted for Outliers';
   yaxis label='Final Seasonal Factors';
run;