Studentized autoregressive time series residuals (Q1424637)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Studentized autoregressive time series residuals |
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Studentized autoregressive time series residuals (English)
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16 March 2004
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Different techniques of residuals studentization are considered for AR(1) models. Least squares and robust R-estimation are used for model fitting, and conditional and unconditional variances of the residuals are estimated for studentization. An example of business data and results of Monte-Carlo studies are presented.
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least squares
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robust estimation
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outlier
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conditional variance
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AR(1) series
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