Ordinary and proper location M-estimates for autoregressive-moving average models
From MaRDI portal
Publication:3745109
DOI10.1093/biomet/73.3.679zbMath0606.62099MaRDI QIDQ3745109
Chin-Hui Lee, R. Douglas Martin
Publication date: 1986
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/73.3.679
robustness; location; ARMA; M-estimate; Monte Carlo studies; non-Gaussian ARMA model; robustifying loss function; weak dependency structure
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M09: Non-Markovian processes: estimation
62F10: Point estimation
Related Items
The change-of-variance function for dependent data, \(M\)-estimation of linear models with dependent errors, Noise benefits to robust M-estimation of location in dependent observations, M-estimates of the spatial autoregression coefficients