Robust estimation in time series

DOI10.1007/BF02595713zbMATH Open1037.62089MaRDI QIDQ1874751FDOQ1874751

Authors: Carlos I. Martínez, Raúl P. Mentz 

Publication date: 25 May 2003

Published in: Test (Search for Journal in Brave)

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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)

Cites Work

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• Robust Estimates of Location: Survey and Advances
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• Mixture Models, Outliers, and the EM Algorithm
• WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*
• Intervention Analysis with Applications to Economic and Environmental Problems
• Time series models in non-normal situation: symmetric innovations
• Title not available (Why is that?)
• ON THE STRUCTURE OF THE LIKELIHOOD FUNCTION OF AUTOREGRESSIVE AND MOVING AVERAGE MODELS
• Evaluation of quadratic forms and traces for iterative estimation in first-order moving average models
• Title not available (Why is that?)
• Simulations of iterative proceduresfor maximum likelihood estimation in MA(1) models

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
• Title not available (Why is that?)

Uses Software

• ITSM
• R
• MINITAB
• S-PLUS

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