Dealing with Outliers in ARMA Time Series Analysis Using Hampel Filter and Wavelet Analysis
Outliers affect the accuracy of the estimated parameters of ARMA time series models which can be handled by the Hampel filter. In this article, wavelet shrinkage is proposed to handle outliers of ARMA models by using wavelet (Daubechies for order 4, Symlets for order 1, and Dmey) with a universal th...
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| Format: | Article |
| Language: | English |
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Mosul University
2025-06-01
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| Series: | Al-Rafidain Journal of Computer Sciences and Mathematics |
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| Online Access: | https://csmj.uomosul.edu.iq/article_187528_69041554815d8731011ada81c931dc9b.pdf |
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| author | Heyam Abd Al-Majeed Hayawi |
| author_facet | Heyam Abd Al-Majeed Hayawi |
| author_sort | Heyam Abd Al-Majeed Hayawi |
| collection | DOAJ |
| description | Outliers affect the accuracy of the estimated parameters of ARMA time series models which can be handled by the Hampel filter. In this article, wavelet shrinkage is proposed to handle outliers of ARMA models by using wavelet (Daubechies for order 4, Symlets for order 1, and Dmey) with a universal threshold method and applying a soft threshold. To compare the efficiency of the proposed method and the traditional method (Hampel filter), the mean square error, Akaike and Bayes information criteria were calculated for simulated and real data (The wind speed series data). The proposed method addresses the problem of outliers and provides estimated parameters for ARMA models with higher efficiency than the traditional method. |
| format | Article |
| id | doaj-art-eb27452cabf4472c913e08684e3fa32c |
| institution | Kabale University |
| issn | 1815-4816 2311-7990 |
| language | English |
| publishDate | 2025-06-01 |
| publisher | Mosul University |
| record_format | Article |
| series | Al-Rafidain Journal of Computer Sciences and Mathematics |
| spelling | doaj-art-eb27452cabf4472c913e08684e3fa32c2025-08-20T04:00:44ZengMosul UniversityAl-Rafidain Journal of Computer Sciences and Mathematics1815-48162311-79902025-06-0119111312110.33899/csmj.2025.157319.1173187528Dealing with Outliers in ARMA Time Series Analysis Using Hampel Filter and Wavelet AnalysisHeyam Abd Al-Majeed Hayawi0Department of Statistics and Informatics, College of Computer Science and Mathematics, University of Mosul,Mosul,IraqOutliers affect the accuracy of the estimated parameters of ARMA time series models which can be handled by the Hampel filter. In this article, wavelet shrinkage is proposed to handle outliers of ARMA models by using wavelet (Daubechies for order 4, Symlets for order 1, and Dmey) with a universal threshold method and applying a soft threshold. To compare the efficiency of the proposed method and the traditional method (Hampel filter), the mean square error, Akaike and Bayes information criteria were calculated for simulated and real data (The wind speed series data). The proposed method addresses the problem of outliers and provides estimated parameters for ARMA models with higher efficiency than the traditional method.https://csmj.uomosul.edu.iq/article_187528_69041554815d8731011ada81c931dc9b.pdftime seriesarma modeloutliershampel filterand wavelets |
| spellingShingle | Heyam Abd Al-Majeed Hayawi Dealing with Outliers in ARMA Time Series Analysis Using Hampel Filter and Wavelet Analysis Al-Rafidain Journal of Computer Sciences and Mathematics time series arma model outliers hampel filter and wavelets |
| title | Dealing with Outliers in ARMA Time Series Analysis Using Hampel Filter and Wavelet Analysis |
| title_full | Dealing with Outliers in ARMA Time Series Analysis Using Hampel Filter and Wavelet Analysis |
| title_fullStr | Dealing with Outliers in ARMA Time Series Analysis Using Hampel Filter and Wavelet Analysis |
| title_full_unstemmed | Dealing with Outliers in ARMA Time Series Analysis Using Hampel Filter and Wavelet Analysis |
| title_short | Dealing with Outliers in ARMA Time Series Analysis Using Hampel Filter and Wavelet Analysis |
| title_sort | dealing with outliers in arma time series analysis using hampel filter and wavelet analysis |
| topic | time series arma model outliers hampel filter and wavelets |
| url | https://csmj.uomosul.edu.iq/article_187528_69041554815d8731011ada81c931dc9b.pdf |
| work_keys_str_mv | AT heyamabdalmajeedhayawi dealingwithoutliersinarmatimeseriesanalysisusinghampelfilterandwaveletanalysis |