A comparison of some estimators of time series autocorrelations

DOI10.1016/0167-9473(92)90170-KzbMath0875.62420WikidataQ127579921 ScholiaQ127579921MaRDI QIDQ2563588

William W. S. Wei, Wai Sum Chan

Publication date: 10 November 1997

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

zbMATH Keywords

ARMA modelrobust estimateadditive outlierjackknife estimateinnovational outliertrimmed estimate

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items

Robust minimum distance estimators for the CARR(1,1) model, On robust testing for conditional heteroscedasticity in time series models

Cites Work

• Robust m-estimators of multivariate location and scatter
• Outlier Detection and Time Series Modeling
• A SCORE TEST FOR DETECTION OF TIME SERIES OUTLIERS
• Robust Identification of Autoregressive Moving Average Models
• Robust Statistics
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