Robust estimation of AR coefficients under simultaneously influencing outliers and missing values

DOI10.1016/j.jspi.2011.04.015zbMath1215.62093OpenAlexW2077974654MaRDI QIDQ546115

Yuriy S. Kharin, Valeriy A. Voloshko

Publication date: 24 June 2011

Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jspi.2011.04.015

zbMATH Keywords

time seriesautoregressionCauchy distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items

Detection of embeddings in binary Markov chains ⋮ On asymptotic properties of the plug-in cepstrum estimator for Gaussian time series ⋮ Statistical estimation of parameters for binary conditionally nonlinear autoregressive time series ⋮ ML estimation of multiple regression parameters under classification of the dependent variable

Uses Software

• TDSL
• robustbase
• TSDL

Cites Work

• Highly Robust Estimation of the Autocovariance Function
• Robust multivariate Bayesian forecasting under functional distortions in the \(\chi^2\)-metric
• Propagation of outliers in multivariate data
• Mixing: Properties and examples
• A survey of robust statistics
• Estimation, Prediction, and Interpolation for ARIMA Models with Missing Data
• Robust Statistics
• On a Measure of Dependence Between two Random Variables
• Robust Statistics
• Sign and rank covariance matrices
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