scientific article; zbMATH DE number 2060194

zbMATH Open1034.62082MaRDI QIDQ4458426FDOQ4458426

Ana Julia Villar, Victor J. Yohai, Marta García Ben

Publication date: 17 March 2004

Title of this publication is not available (Why is that?)

Recommendations

• Robust estimation for vector autoregressive models
• Robust estimation in vector autoregressive moving-average models
• Robust estimation of the vector autoregressive model by a least trimmed squares procedure
• scientific article; zbMATH DE number 3842986
• scientific article; zbMATH DE number 3965271
• scientific article
• Rate-optimal robust estimation of high-dimensional vector autoregressive models

zbMATH Keywords

multivariate time seriesrobust estimationvector autoregressive models\(\tau\)-estimates

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

Cited In (6)

• Robust estimation in vector autoregressive moving-average models
• On the asymptotic distribution of a multivariate GR-estimate for a VAR(\(p\)) time series.
• ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS
• Robust estimation for the multivariate linear model based on a \(\tau\)-scale
• Robust estimation of the vector autoregressive model by a least trimmed squares procedure
• Robust estimation for vector autoregressive models

This page was built for publication:

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4458426)