Robust modelling of periodic vector autoregressive time series

DOI10.1016/J.JSPI.2014.07.005zbMATH Open1307.62214OpenAlexW2046933220MaRDI QIDQ466531FDOQ466531

Authors: Eugen Ursu, Jean-Christophe Pereau 

Publication date: 27 October 2014

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2014.07.005

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zbMATH Keywords

identificationrobust estimationgenetic algorithmsparameter constraintsperiodic time series

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Parametric inference under constraints (62F30) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

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• Robust multiple time series modelling
• Robust Estimation of the First-Order Autoregressive Parameter
• DIAGNOSTIC CHECKING OF PERIODIC AUTOREGRESSION MODELS WITH APPLICATION
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• On robust forecasting in dynamic vector time series models
• Robust estimation of periodic autoregressive processes in the presence of additive outliers

Cited In (11)

• On modelling and diagnostic checking of vector periodic autoregressive time series models
• Sparse seasonal and periodic vector autoregressive modeling
• Robust Estimation For Periodic Autoregressive Time Series
• Causality conditions and autocovariance calculations in PVAR models
• Vector autoregressive models: a Gini approach
• Estimating weak periodic vector autoregressive time series
• Robust estimation of the vector autoregressive model by a least trimmed squares procedure
• On robust forecasting in dynamic vector time series models
• Robust estimation of periodic autoregressive processes in the presence of additive outliers
• Detection and estimation of additive outliers in seasonal time series
• Robust estimation of the seasonal autocorrelation of the PAR(1) model

Uses Software

• robustbase

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