Multivariate autoregressive time series using Schweppe weighted Wilcoxon estimates

DOI10.1007/978-3-319-39065-9_13MaRDI QIDQ5280271zbMATH OpenOpenAlexFDO

Authors Jaime Burgos, J. T. Terpstra

Publication date 20 July 2017

Published in Robust Rank-Based and Nonparametric Methods (Search for Journal in Brave)

Full work available at URL https://scholarworks.wmich.edu/dissertations/239

zbMATH Keywords

outliersasymptotic normalityU-statisticsMonte Carlo studyvector autoregressiveWilcoxon estimatesmultivariate autoregressive time seriesSchweppe

Mathematics Subject Classification ID

Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12)

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Cites work

• scientific article; zbMATH DE number 194744 (Why is no real title available?)
• scientific article; zbMATH DE number 897115 (Why is no real title available?)
• scientific article; zbMATH DE number 3395249 (Why is no real title available?)
• scientific article; zbMATH DE number 3055230 (Why is no real title available?)
• Asymptotic normality ofr-estimates in the linear model
• Estimating Regression Coefficients by Minimizing the Dispersion of the Residuals
• Generalized rank estimates for an autoregressive time series: A \(U\)-statistic approach
• High-Breakdown Rank Regression
• Introduction to Time Series and Forecasting
• Multivariate functional least squares
• On U-statistics and v. mise? statistics for weakly dependent processes
• On median estimates and tests in autoregressive models
• On the asymptotic distribution of a multivariate GR-estimate for a VAR(p) time series.
• Robust estimation for vector autoregressive models
• Robust estimation in vector autoregressive moving-average models
• Robust estimation of the vector autoregressive model by a least trimmed squares procedure
• Robust multiple time series modelling
• Robust nonparametric statistical methods
• The law of large numbers for \(U\)-statistics under absolute regularity
• Theory & Methods: Weighted Wilcoxon Estimates for Autoregression
• WeightedL₁-estimates for a VAR(p) time series model

Describes a project that uses

Uses Software

• itsmr
• R

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