Robust and consistent estimates of autoregressive-moving average parameters

DOI10.1093/BIOMET/74.4.791zbMATH Open0628.62027OpenAlexW2011010129MaRDI QIDQ3765032FDOQ3765032

Authors: Guido Masarotto 

Publication date: 1987

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/74.4.791

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zbMATH Keywords

outliersrobust estimationconsistentgeneralized M-estimatesestimates of autoregressive-moving average parametersnominal Gaussian modelrobust version of maximum likelihood estimates of order r

Mathematics Subject Classification ID

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

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• One‐step M‐estimators in the linear model, with dependent errors
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