Multivariate autoregressive time series using Schweppe weighted Wilcoxon estimates

DOI10.1007/978-3-319-39065-9_13zbMATH Open1366.62172OpenAlexW21495671MaRDI QIDQ5280271FDOQ5280271

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

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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)

Cites Work

• Introduction to Time Series and Forecasting
• Title not available (Why is that?)
• Title not available (Why is that?)
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• On median estimates and tests in autoregressive models
• Asymptotic normality ofr-estimates in the linear model
• Estimating Regression Coefficients by Minimizing the Dispersion of the Residuals
• On U-statistics and v. mise? statistics for weakly dependent processes
• Title not available (Why is that?)
• Robust Nonparametric Statistical Methods
• The law of large numbers for \(U\)-statistics under absolute regularity
• Robust estimation in vector autoregressive moving-average models
• Robust multiple time series modelling
• High-Breakdown Rank Regression
• Theory & Methods: Weighted Wilcoxon Estimates for Autoregression
• Multivariate functional least squares
• Robust estimation for vector autoregressive models
• Robust estimation of the vector autoregressive model by a least trimmed squares procedure
• On the asymptotic distribution of a multivariate GR-estimate for a VAR(\(p\)) time series.
• Generalized rank estimates for an autoregressive time series: A \(U\)-statistic approach
• WeightedL₁-estimates for a VAR(p) time series model

Uses Software

• R
• itsmr

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