intervention_analysis
Detect extreme residuals in time series and assess their impact on ACF/PACF and diagnostic tests, flagging unreliable Jarque-Bera and Ljung-Box statistics.
Instructions
Detect extreme residuals and assess their impact on ACF/PACF and tests.
Identifies residuals with |z| > threshold and reports:
Date and standardised z-value of each extreme observation
Fraction of total variance explained (global ACF/PACF compression)
ACF lags most affected by the outlier's pair-contribution
Whether Jarque-Bera and Ljung-Box Q are unreliable
Parameters
inp_path : path to .inp or .pre file threshold : |z| threshold for flagging extremes (default 3.5)
Input Schema
| Name | Required | Description | Default |
|---|---|---|---|
| inp_path | Yes | ||
| threshold | No |