scientific article; zbMATH DE number 2060194

MaRDI QIDQ4458426zbMATH OpenFDO

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

Publication date 17 March 2004

zbMATH Keywords

\(\tau\)-estimatesmultivariate time seriesrobust estimationvector autoregressive models

Mathematics Subject Classification ID

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

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Cited in

(10)

• Robust estimation for vector autoregressive models
• On the asymptotic distribution of a multivariate GR-estimate for a VAR(p) time series.
• Robust estimation for the multivariate linear model based on a \(\tau\)-scale
• Robust estimation in vector autoregressive moving-average models
• Robust estimation of the vector autoregressive model by a least trimmed squares procedure
• Robust Burg estimation of stationary autoregressive mixtures covariance
• ROBUST INFERENCE IN STRUCTURAL VECTOR AUTOREGRESSIONS WITH LONG-RUN RESTRICTIONS
• Bayesian averaging of classical estimates in asymmetric vector autoregressive models
• Robust estimation using multivariate t innovations for vector autoregressive models via ECM algorithm
• Rate-optimal robust estimation of high-dimensional vector autoregressive models

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