Ordinary and proper location M-estimates for autoregressive-moving average models

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Publication:3745109

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DOI10.1093/biomet/73.3.679zbMath0606.62099OpenAlexW2091961596MaRDI 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

zbMATH Keywords

robustness location ARMA M-estimate Monte Carlo studies non-Gaussian ARMA model robustifying loss function weak dependency structure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Point estimation (62F10)

Related Items (4)

Noise benefits to robust M-estimation of location in dependent observations ⋮ M-estimates of the spatial autoregression coefficients ⋮ \(M\)-estimation of linear models with dependent errors ⋮ The change-of-variance function for dependent data

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