Robust estimation in long-memory processes under additive outliers
DOI10.1016/J.JSPI.2008.12.014zbMATH Open1162.62085OpenAlexW2095138949MaRDI QIDQ154483FDOQ154483
Authors: Fabio Fajardo Molinares, Valdério Anselmo Reisen, Francisco Cribari-Neto, Fabio Fajardo Molinares, Valdério Anselmo Reisen, Francisco Cribari-Neto 
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
Recommendations
- Robust estimation in time series with long and short memory properties
- A comparative note about estimation of the fractional parameter under additive outliers
- ARFIMA processes and outliers: a weighted likelihood approach
- An \(M\)-estimator for the long-memory parameter
- Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations
Nonparametric estimation (62G05) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Robustness and adaptive procedures (parametric inference) (62F35) Inference from stochastic processes and spectral analysis (62M15)
Cites Work
- Highly robust estimation of the autocovariance function
- Title not available (Why is that?)
- Long‐Memory Time Series
- Fractional differencing
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- Alternatives to the Median Absolute Deviation
- Robust Statistics
- Joint Estimation of Model Parameters and Outlier Effects in Time Series
- Title not available (Why is that?)
- Log-periodogram regression of time series with long range dependence
- Gaussian semiparametric estimation of long range dependence
- Title not available (Why is that?)
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Discrimination between monotonic trends and long-range dependence
- Estimation of fractional integration in the presence of data noise
- Nonlinear log-periodogram regression for perturbed fractional processes
- Outliers in multivariate time series
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
- Long Memory Inflationary Dynamics: The Case of Brazil
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
- ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
- ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
- On a class of M-estimators for Gaussian long-memory models
- Title not available (Why is that?)
- Parametric and semiparametric estimations of stationary univariate ARFIMA models
- A test for additive outliers applicable to long-memory time series
- Estimation of seasonal fractionally integrated processes
Cited In (19)
- A test for additive outliers applicable to long-memory time series
- Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations
- Robust estimation in time series with long and short memory properties
- A dimension reduction factor approach for multivariate time series with long-memory: a robust alternative method
- Robust factor modelling for high-dimensional time series: an application to air pollution data
- An \(M\)-estimator for the long-memory parameter
- A comparative note about estimation of the fractional parameter under additive outliers
- Robust factor models for high-dimensional time series and their forecasting
- The effects of additive outliers in INAR(1) process and robust estimation
- \(M\)-periodogram for the analysis of long-range-dependent time series
- tsqn
- Discrete variations of the fractional Brownian motion in the presence of outliers and an additive noise
- Central limit theorem for the robust log-regression wavelet estimation of the memory parameter in the Gaussian semi-parametric context
- Robust estimation of periodic autoregressive processes in the presence of additive outliers
- On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity
- Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes
- Robust Two-Step Wavelet-Based Inference for Time Series Models
- Robust Dickey-Fuller tests based on ranks for time series with additive outliers
- ARFIMA processes and outliers: a weighted likelihood approach
Uses Software
This page was built for publication: Robust estimation in long-memory processes under additive outliers
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q154483)
