Robust time series analysis via measurement error modeling

zbMATH Open1166.62070MaRDI QIDQ5325828FDOQ5325828

Authors: Qiong Wang, Leonard Stefanski, Marc G. Genton, Dennis D. Boos 

Publication date: 24 July 2009

Full work available at URL: http://www3.stat.sinica.edu.tw/statistica/J19N3/j19n321/j19n321.html

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• scientific article; zbMATH DE number 4064318

zbMATH Keywords

Bayesian inferenceMCMCmeasurement errorrobustnessinfluence functionerror contamination model

Mathematics Subject Classification ID

Bayesian inference (62F15) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Numerical analysis or methods applied to Markov chains (65C40) Robustness and adaptive procedures (parametric inference) (62F35)

Cited In (7)

• Lack-of-fit of a parametric measurement error AR(1) model
• Robust estimation in time series
• Parameter estimation of autoregressive models using the iteratively robust filtered fast-\(\tau\) method
• Bench-Marking Time Series with Reliable Bench-Marks
• Title not available (Why is that?)
• A Robust Regression Model for a First-Order Autoregressive Time Series with Unequal Spacing: Application to Water Monitoring
• Further results on a robust multivariate time series analysis in nonlinear models with autoregressive and t-distributed errors

Uses Software

• robustbase

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