TS_AUTO_ARIMA_OUTLIER Function [Time Series]

Like the TS_AUTO_ARIMA aggregate function, TS_AUTO_ARIMA_OUTLIER accepts an input time series and automatically determines the parameters of a multiplicative seasonal autoregressive integrated moving average (ARIMA) model.

Where TS_AUTO_ARIMA uses the ARIMA model to forecast values beyond the set of inputs, TS_AUTO_ARIMA_OUTLIER uses the ARIMA model to identify the elements of the input time series that are statistical outliers, and returns the outlier type of each one.

Syntax

TS_AUTO_ARIMA_OUTLIER( <time_value>, <timeseries_expression>              [ , <max_lag> [ , <critical	>              [ , <epsilon> [ , <criterion>              [ , <confidence> [, <model> [ , <delta>]]]]]]] )
OVER (window-spec)

Note: This function is available only with RAP – The Trading Edition Enterprise. See the Time Series Guide for detailed information on this function.