Robust time series analysis via measurement error modeling

MaRDI QIDQ5325828zbMATH OpenFDO

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

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)

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Cited in

(7)

• Parameter estimation of autoregressive models using the iteratively robust filtered fast-\(\tau\) method
• Bench-Marking Time Series with Reliable Bench-Marks
• Robust estimation in time series
• Further results on a robust multivariate time series analysis in nonlinear models with autoregressive and t-distributed errors
• scientific article; zbMATH DE number 4064318 (Why is no real title available?)
• A Robust Regression Model for a First-Order Autoregressive Time Series with Unequal Spacing: Application to Water Monitoring
• Lack-of-fit of a parametric measurement error AR(1) model

Describes a project that uses

Uses Software

• robustbase

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