A comparison of some estimators of time series autocorrelations

DOI10.1016/0167-9473(92)90170-KzbMath0875.62420WikidataQ127579921 ScholiaQ127579921MaRDI QIDQ2563588

William W. S. Wei, Wai Sum Chan

Publication date: 10 November 1997

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

ARMA modelrobust estimateadditive outlierjackknife estimateinnovational outliertrimmed estimate

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (2)

Robust minimum distance estimators for the CARR(1,1) model ⋮ On robust testing for conditional heteroscedasticity in time series models

Cites Work

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• Robust m-estimators of multivariate location and scatter
• Outlier Detection and Time Series Modeling
• A SCORE TEST FOR DETECTION OF TIME SERIES OUTLIERS
• Robust Identification of Autoregressive Moving Average Models
• Robust Statistics

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