A New Robust Estimation Method for ARMA Models

DOI10.1109/TSP.2010.2046413zbMATH Open1391.62159OpenAlexW2064516187MaRDI QIDQ4570352FDOQ4570352

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
• Title not available (Why is that?)
• 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
• Title not available (Why is that?)

This page was built for publication: A New Robust Estimation Method for ARMA Models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4570352)