A New Robust Estimation Method for ARMA Models

DOI10.1109/TSP.2010.2046413MaRDI QIDQ4570352zbMATH OpenOpenAlexFDO

Authors Y. Chakhchoukh

Publication date 9 July 2018

Published in IEEE Transactions on Signal Processing (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/tsp.2010.2046413

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Robustness and adaptive procedures (parametric inference) (62F35)

Cited in

(7)

• A novel weight function-based robust iterative learning identification method for discrete Box-Jenkins models with Student's t-distribution noises
• scientific article; zbMATH DE number 1202636 (Why is no real title available?)
• Support Vector Method for RobustARMA System Identification
• New approximation for ARMA parameters estimate
• Robust estimation of (partial) autocorrelation
• Robust closed-form estimators for the integer-valued GARCH(1,1) model
• scientific article; zbMATH DE number 4132059 (Why is no real title available?)

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