A Comparative Note about Estimation of the Fractional Parameter under Additive Outliers
From MaRDI portal
Publication:2809594
DOI10.1080/03610918.2014.892322zbMath1359.62383MaRDI QIDQ2809594
Publication date: 30 May 2016
Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)
Full work available at URL: http://files.pucp.edu.pe/departamento/economia/DDD356.pdf
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62G35: Nonparametric robustness
Uses Software
Cites Work
- Unnamed Item
- Unnamed Item
- Highly Robust Estimation of the Autocovariance Function
- Robust estimation in long-memory processes under additive outliers
- Asymptotic properties of \(U\)-processes under long-range dependence
- A test for additive outliers applicable to long-memory time series
- Unit root tests for time series with outliers
- An outlier robust unit root test with an application to the extended Nelson-Plosser data
- Gaussian semiparametric estimation of long range dependence
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- Additive Outlier Detection Via Extreme-Value Theory
- SEARCHING FOR ADDITIVE OUTLIERS IN NONSTATIONARY TIME SERIES*
- ON ESTIMATION OF LONG-MEMORY TIME SERIES MODELS
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- ESTIMATION OF THE LONG-MEMORY PARAMETER, BASED ON A MULTIVARIATE CENTRAL LIMIT THEOREM
- AUTOMATIC SEMIPARAMETRIC ESTIMATION OF THE MEMORY PARAMETER OF A LONG-MEMORY TIME SERIES
- ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
- LAG WINDOW ESTIMATION OF THE DEGREE OF DIFFERENCING IN FRACTIONALLY INTEGRATED TIME SERIES MODELS
- Two Simple Procedures for Testing for a Unit Root When There are Additive Outliers
- Large sample behaviour of some well-known robust estimators under long-range dependence
