Extensions of the Forward Search to Time Series

DOI10.2202/1558-3708.1208MaRDI QIDQ3368332zbMATH OpenOpenAlexFDO

Authors Marco Riani

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1208

zbMATH Keywords

Kalman filterMissing observationsOutlier detectionRobust methodsStructural breaks

Mathematics Subject Classification ID

Economic time series analysis (91B84)

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(12)

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• Correcting outliers in GARCH models: a weighted forward approach
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• Transformations and seasonal adjustment
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• Analyzing Financial Time Series through Robust Estimators
• Econometric Applications of the Forward Search in Regression: Robustness, Diagnostics, and Graphics
• New robust dynamic plots for regression mixture detection
• Data driven robust estimation methods for fixed effects panel data models
• Robust statistical processing of long-time data series to estimate soil water content

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