Robust estimation in long-memory processes under additive outliers

DOI10.1016/j.jspi.2008.12.014zbMath1162.62085OpenAlexW2095138949MaRDI QIDQ154483

Francisco Cribari-Neto, Valdério Anselmo Reisen, Fabio Fajardo Molinares, Fabio Fajardo Molinares, Francisco Cribari-Neto, Valdério Anselmo Reisen

Publication date: August 2009

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2008.12.014

zbMATH Keywords

robustnessadditive outlierslong-memoryARFIMA model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric robustness (62G35) Nonparametric estimation (62G05) Robustness and adaptive procedures (parametric inference) (62F35) Inference from stochastic processes and spectral analysis (62M15) Monte Carlo methods (65C05)

Related Items (14)

The effects of additive outliers in INAR(1) process and robust estimation ⋮ M-periodogram for the analysis of long-range-dependent time series ⋮ An \(M\)-estimator for the long-memory parameter ⋮ On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity ⋮ Robust factor models for high-dimensional time series and their forecasting ⋮ Robust Two-Step Wavelet-Based Inference for Time Series Models ⋮ Central limit theorem for the robust log-regression wavelet estimation of the memory parameter in the Gaussian semi-parametric context ⋮ Robust Dickey-Fuller tests based on ranks for time series with additive outliers ⋮ Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations ⋮ Robust factor modelling for high-dimensional time series: an application to air pollution data ⋮ Robust estimation of periodic autoregressive processes in the presence of additive outliers ⋮ A Comparative Note about Estimation of the Fractional Parameter under Additive Outliers ⋮ tsqn ⋮ Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes

Uses Software

• robustbase
• tsqn

Cites Work

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