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)

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)

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Cites work

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• Evaluation of quadratic forms and traces for iterative estimation in first-order moving average models
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Cited in

(4)

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

Describes a project that uses

Uses Software

• ITSM
• R
• MINITAB
• S-PLUS

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