Shrinkage estimation of contemporaneous outliers in concurrent time series

Abstract

Contemporaneous outlier blocks (additive or reallocation) caused by special events frequently occur in repeated business time series. When the time series have strong inter-series dependence, shrinkage estimation techniques provide improved estimates of the time series model parameters and of the outlier block. A bootstrap estimate of the covariance matrix of the vector of outlier magnitudes enables us to incorporate the dependence and obtain the shrinkage estimates.