Robust Likelihood Calculation for Time Series

Abstract

We propose a computationally efficient method for calculating the likelihoods of a time series under many submodels, each of which assumes a patch of outliers or level shifts. We assume a state space representation of the time series model with a Bayesian-type treatment of anomalies. The calculations form the basis for an efficient and robust estimation procedure. The method is also applicable to linear regression with correlated errors and is illustrated with two examples