Methods for recursive robust estimation of AR parameters

DOI10.1016/0167-9473(94)90146-5MaRDI QIDQ1361507zbMATH OpenOpenAlexFDO

Authors Ken Sejling, Henrik Madsen, J. Holst, Ulla Holst, Jan-Eric Englund

Publication date 25 August 1997

Published in Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-9473(94)90146-5

zbMATH Keywords

recursive estimationrobust estimationtime series analysisadditive and innovation outliersbounded-influence estimation

Mathematics Subject Classification ID

Statistics (62-XX)

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• Recursive computation of M-estimates for the parameters of a finite autoregressive process
• Recursive estimators for stationary, strong mixing processes - a representation theorem and asymptotic distributions
• Recursive versions Of the algorithm by krasker and welsch
• Robust Estimation of a Location Parameter
• Robust Estimation of the First-Order Autoregressive Parameter
• Robust Statistics
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• Robust identification
• Robust regression: Asymptotics, conjectures and Monte Carlo

Cited in

(13)

• Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers
• Robust recursive Lp estimation
• ARMA parameter estimation using a novel recursive estimation algorithm with selective updating
• Recursive versions Of the algorithm by krasker and welsch
• Computing and estimating information matrices of weak ARMA models
• scientific article; zbMATH DE number 4147308 (Why is no real title available?)
• An algorithm for robust fitting of autoregressive models
• Robust identification of linear ARX models with recursive EM algorithm based on Student's t-distribution
• Asymmetric recursive methods for time series
• Robust recursive estimation in nonlinear time series
• Robust estimation of autoregressive processes using a mixture-based filter-bank
• Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models
• Recursive method for ARMA model estimation. I

Describes a project that uses

Uses Software

• IMSL Numerical Libraries

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