Robust estimation in time series

DOI10.1007/BF02595713MaRDI QIDQ1874751zbMATH OpenFDO

Authors Carlos I. Martínez, Raúl P. Mentz

Publication date 25 May 2003

Published in Test (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/BF02595713

zbMATH Keywords

maximum likelihoodrobustnessestimation of error variancecontaminated errorsfirst-order moving average model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Recommendations

• Robust time series analysis via measurement error modeling
• scientific article; zbMATH DE number 1228716
• scientific article; zbMATH DE number 3899995
• scientific article; zbMATH DE number 1031889
• Robust time series estimation via weighted likelihood

Cites work

• scientific article; zbMATH DE number 3899977 (Why is no real title available?)
• scientific article; zbMATH DE number 36676 (Why is no real title available?)
• scientific article; zbMATH DE number 49657 (Why is no real title available?)
• scientific article; zbMATH DE number 1065065 (Why is no real title available?)
• scientific article; zbMATH DE number 3395169 (Why is no real title available?)
• scientific article; zbMATH DE number 3395249 (Why is no real title available?)
• Evaluation of quadratic forms and traces for iterative estimation in first-order moving average models
• Intervention Analysis with Applications to Economic and Environmental Problems
• Mixture Models, Outliers, and the EM Algorithm
• ON THE STRUCTURE OF THE LIKELIHOOD FUNCTION OF AUTOREGRESSIVE AND MOVING AVERAGE MODELS
• Robust Estimates of Location: Survey and Advances
• Simulations of iterative proceduresfor maximum likelihood estimation in MA(1) models
• Time series models in non-normal situation: symmetric innovations
• WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*

Cited in

(4)

• Robust Estimation For Periodic Autoregressive Time Series
• Robust estimation iin time series: an approximation to the gaussian sum filter
• Robust Regression on Stationary Time Series: A Self‐Normalized Resampling Approach
• scientific article; zbMATH DE number 4064318 (Why is no real title available?)

Describes a project that uses

Uses Software

• S-PLUS
• MINITAB
• R
• ITSM

This page was built for publication: Robust estimation in time series

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1874751)