I have a question about automatic on-line outliers and change point detection in time series data. Now I read the paper: "Outliers, Level Shifts, and Variance Changes in Time Series" Ruey S.Tsay
It's written in the abstract: "..The methods employed are extremely simple yet useful.."
But for me it's not very easy to understand these methods and especially to implement.
If someone can give me a hint how to do that in R/Matlab etc I will be highly appreciated.