Robust estimation for the covariance matrix of multi-variate time series
From MaRDI portal
Publication:5495693
DOI10.1111/j.1467-9892.2010.00705.xzbMath1294.62205MaRDI QIDQ5495693
Publication date: 6 August 2014
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9892.2010.00705.x
consistency; asymptotic normality; autocovariance; density-based divergence measures; robust estimation of covariance matrix
62H12: Estimation in multivariate analysis
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F35: Robustness and adaptive procedures (parametric inference)
Related Items
General Robust Bayes Pseudo-Posteriors: Exponential Convergence Results with Applications, Robust factor models for high-dimensional time series and their forecasting, Sequential change point test in the presence of outliers: the density power divergence based approach, Statistical analysis of multivariate discrete-valued time series, Minimum density power divergence estimator for covariance matrix based on skew \(t\) distribution, Robust estimation for the covariance matrix of multivariate time series based on normal mixtures, Robust estimation for copula Parameter in SCOMDY models
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Highly Robust Estimation of the Autocovariance Function
- Minimum distance density-based estimation
- Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices
- Robust m-estimators of multivariate location and scatter
- Minimum Hellinger distance estimates for parametric models
- Minimum disparity estimation for continuous models: Efficiency, distributions and robustness
- Robust estimation in the normal mixture model
- Test for parameter change based on the estimator minimizing density-based divergence meas\-ures
- Minimum Hellinger Distance Estimation for Multivariate Location and Covariance
- Minimum Hellinger Distance Estimation for the Analysis of Count Data
- Robust Procedures in Multivariate Analysis I: Robust Covariance Estimation
- Robust and efficient estimation by minimising a density power divergence
- The Behavior of the Stahel-Donoho Robust Multivariate Estimator