Efficient algorithms for robust estimation in autoregressive regression models using Student’stdistribution

DOI10.1080/03610918.2018.1484481OpenAlexW2897870311MaRDI QIDQ5087940FDOQ5087940

Authors: Uchenna Chinedu Nduka, Iheanyi S. Iwueze, Elezar C. Nwogu 

Publication date: 4 July 2022

Published in: Communications in Statistics. Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610918.2018.1484481

zbMATH Keywords

outliersautoregressionEM-type algorithmsStudent's \(t\) distributionknown and unknown degrees of freedom

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Time series analysis of dynamical systems (37M10)

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Cited In (3)

• Robust Autoregression: Student-t Innovations Using Variational Bayes
• Student-t Process Regression with Dependent Student-t Noise
• Efficient and robust estimation for autoregressive regression models using shape mixtures of skew \(t\) normal distribution

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