Robust multiple time series modelling

DOI10.1093/biomet/76.2.309zbMath0666.62087OpenAlexW2020660743MaRDI QIDQ3817480

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Publication date: 1989

Published in: Biometrika (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/biomet/76.2.309

zbMATH Keywords

robust estimationvector autoregressionmultiple time seriesmodel diagnostic checkingresidual autocovariancesrobustified multivariate portmanteau statistic

Mathematics Subject Classification ID

Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (6)

Multivariate Autoregressive Time Series Using Schweppe Weighted Wilcoxon Estimates ⋮ WeightedL₁-estimates for a VAR(p) time series model ⋮ Robust modelling of periodic vector autoregressive time series ⋮ On robust forecasting in dynamic vector time series models ⋮ On robust testing for conditional heteroscedasticity in time series models ⋮ On the asymptotic distribution of a multivariate GR-estimate for a VAR(\(p\)) time series.

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