Asymmetric recursive methods for time series

MaRDI QIDQ1340773zbMATH OpenFDO

Authors Tomáš Cipra

Publication date 16 February 1995

Published in Applications of Mathematics (Search for Journal in Brave)

Full work available at URL https://eudml.org/doc/32879

zbMATH Keywords

asymmetric error distributionsasymmetric least squaresasymmetric loss functionsasymmetric recursive estimationasymmetric time seriesautoregressive modelexponential smoothingKalman filteringrecursive time series methodsrecursive treatment of Box-Jenkins modelssplit-normal distribution

Mathematics Subject Classification ID

Signal detection and filtering (aspects of stochastic processes) (60G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Filtering in stochastic control theory (93E11)

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Cites work

• Asymmetric Least Squares Estimation and Testing
• scientific article; zbMATH DE number 4102344 (Why is no real title available?)
• scientific article; zbMATH DE number 61455 (Why is no real title available?)
• scientific article; zbMATH DE number 3449561 (Why is no real title available?)
• scientific article; zbMATH DE number 3335601 (Why is no real title available?)
• Methods for recursive robust estimation of AR parameters
• On M-methods in growth curve analysis with asymmetric errors
• Prediction with a Generalized Cost of Error Function
• Recursive computation of M-estimates for the parameters of a finite autoregressive process

Cited in

(2)

• Time-change models for asymmetric processes
• scientific article; zbMATH DE number 4145194 (Why is no real title available?)

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