Efficient robust estimation of time-series regression models.

DOI10.1007/S10492-008-0009-XMaRDI QIDQ834023zbMATH OpenOpenAlexFDO

Authors P. Čížek

Publication date 17 August 2009

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

Full work available at URL https://eudml.org/doc/37783

zbMATH Keywords

time seriesasymptotic efficiencyrobust regressionleast weighted squares

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Sequential estimation (62L12)

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Cites work

• scientific article; zbMATH DE number 3986407 (Why is no real title available?)
• scientific article; zbMATH DE number 194744 (Why is no real title available?)
• A class of robust and fully efficient regression estimators
• Comprehensive Definitions of Breakdown Points for Independent and Dependent Observations
• High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
• Least trimmed squares in nonlinear regression under dependence

Cited in

(5)

• Robust Regression on Stationary Time Series: A Self‐Normalized Resampling Approach
• Modified quantum-behaved particle swarm optimization for parameters estimation of generalized nonlinear multi-regressions model based on Choquet integral with outliers
• Semiparametrically weighted robust estimation of regression models
• Some diagnostic tools in robust econometrics
• Robust Two-Step Wavelet-Based Inference for Time Series Models

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