Determining the order of an arm a model from outlier contaminated data

DOI10.1080/03610929808832648MaRDI QIDQ4383744zbMATH OpenOpenAlexFDO

Authors Richard Glendinning

Publication date 25 May 1998

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929808832648

zbMATH Keywords

model selectionrobust estimationpattern recognitionbootstrappingadditive outliersARMA process

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Recommendations

• A comparison of several procedures for identifying outliers in contaminated ARMA processes
• Rank-Based Autoregressive Order Identification
• Robust Identification of Autoregressive Moving Average Models
• Robust estimation for ARMA models

Cites work

• A comparison of some autocovariance-based methods of arma model selection: a simulation study
• A knowledge-based fuzzy decision tree classifier for time series modeling
• ESTIMATION OF THE MOVING-AVERAGE REPRESENTATION OF A STATIONARY PROCESS BY AUTOREGRESSIVE MODEL FITTING
• Identification of autoregressive moving-average parameters of time series
• Linear Methods for Estimating Arma and Regression Models with Serial Correlation
• Model selection for infinite variance time series
• ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING-AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP
• RECURSIVE GENERALIZED M ESTIMATES FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• ROBUST BAYESIAN ESTIMATION OF AUTOREGRESSIVE‐‐MOVING‐AVERAGE MODELS
• Recursive estimation of mixed autoregressive-moving average order
• Two chi-square statistics for determining the orders p and q of an ARMA (p, q) process

Cited in

(7)

• Rank-Based Autoregressive Order Identification
• Selecting sub-set autoregressions from outlier contaminated data.
• scientific article; zbMATH DE number 3999071 (Why is no real title available?)
• Estimating the inverse autocorrelation function from outlier contaminated data
• scientific article; zbMATH DE number 5548395 (Why is no real title available?)
• Out of control (outlier) detection in business data using the \(\mathrm{ARMA}(1,1)\) model
• A comparison of several procedures for identifying outliers in contaminated ARMA processes

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