Abstract
Intensive longitudinal data are often found to be non-stationary, namely, showing changes in statistical properties, such as means and variance-covariance structures, over time. One way to accommodate non-stationarity is to specify key parameters that show over-time changes as time-varying parameters (TVPs). However, the nature and dynamics of TVPs may themselves be heterogeneous across time, contexts, developmental stages, individuals and as related to other biopsychosocial-cultural influences. We propose an outlier detection method designed to facilitate the detection of critical shifts in any differentiable linear and non-linear dynamic functions, including dynamic functions for TVPs. This approach can be readily applied to various data scenarios, including single-subject and multisubject, univariate and multivariate processes, as well as with and without latent variables. We demonstrate the utility and performance of this approach with three sets of simulation studies and an empirical illustration using facial electromyography data from a laboratory emotion induction study.