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Abstract A diagnostic procedure for detecting additive and innovation outliers as well as level shifts in a regression model with ARIMA errors is introduced. The procedure is based on a robust estimate of the model parameters and on innovation residuals computed by means of robust filtering. A Monte Carlo study shows that, when there is a large proportion of outliers, this procedure is more powerful than the classical methods based on maximum likelihood type estimates and Kalman filtering. Copyright © 2001 John Wiley & Sons, Ltd.
Bianco et al. (Sat,) studied this question.