Terror

Terror stands for TRAMO for Errors.

Program Terror is designed to handle large sets of time series with a monthly or lower frequency of observation. For each series, the program automatically identifies an ARIMA model and detects and corrects for several types of outliers. (It also interpolates missing observations if there are any.) Next, the one-period-ahead forecast of the series is computed and compared with the new observation (this new observation is not used for estimation). In brief, when the forecast error is, in absolute value, larger than some a priori specified limit, the new observation is identified as a possible error.