Ordinary and proper location M-estimates for autoregressive-moving average models
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Publication:3745109
DOI10.1093/biomet/73.3.679zbMath0606.62099MaRDI QIDQ3745109
R. Douglas Martin, Chin-Hui Lee
Publication date: 1986
Published in: Biometrika (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1093/biomet/73.3.679
robustness; location; ARMA; M-estimate; Monte Carlo studies; non-Gaussian ARMA model; robustifying loss function; weak dependency structure
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M09: Non-Markovian processes: estimation
62F10: Point estimation
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