Sapan Gözlem ile Yapısal Kırılma Noktası İlişkisi ve Bunun Bayesyen Otoregresif Süreçle Tespiti = The Relationship of Aberrant Observation and Structural Break Point : Determination With Bayesian Autoregressive Process

• Main Authors: Özlem Yorulmaz, Oya Ekici
• Format: Article
• Language: English
• Published: Dogus University 2008-06-01
• Series: Doğuş Üniversitesi Dergisi
• Subjects: Kırılma Noktası; Sapan Gözlemler; Seviye Kayması; Perron Süreci; Otoregresif Sürecin Son Dağılımı; Aberrant Observations; Level Shift; Perron’s Process; Posterior Distribution of Autoregressive Process and Structural Break
• Online Access: http://journal.dogus.edu.tr/index.php/duj/article/view/66

In time series, structural break point can be considered as Level Shift, one type of aberrant observation. Types of aberrant observations, especially Level Shift, and Bayesian autoregressive process are mentioned in the study. In this extent, the ability of finding Level Shift with Bayesian Autoregressive process is also demonstrated on real data.