Selecting sub-set autoregressions from outlier contaminated data.

DOI10.1016/S0167-9473(00)00038-4zbMATH Open1080.62513OpenAlexW2055584610MaRDI QIDQ5940999FDOQ5940999

Authors: Richard Glendinning 

Publication date: 20 August 2001

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0167-9473(00)00038-4

Recommendations

• Determining the order of an arm a model from outlier contaminated data
• ON THE SELECTION OF SUBSET AUTOREGRESSIVE TIME SERIES MODELS
• A comparison of several procedures for identifying outliers in contaminated ARMA processes
• Robust Bayesian Model Selection for Autoregressive Processes With Additive Outliers
• Robust model selection with LARS based on S-estimators

zbMATH Keywords

Model selectionData cleaningSub-set autoregressionRobust proceduresAdditive outlierBackward selection

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• Regression and time series model selection in small samples
• How Many Clusters? Which Clustering Method? Answers Via Model-Based Cluster Analysis
• Bayesian Variable Selection in Linear Regression
• Title not available (Why is that?)
• On One-Step GM Estimates and Stability of Inferences in Linear Regression
• A Robust Version of Mallows's C p
• Robust Linear Model Selection by Cross-Validation
• Prediction Via Orthogonalized Model Mixing
• Computing the Exact Least Median of Squares Estimate and Stability Diagnostics in Multiple Linear Regression
• Title not available (Why is that?)
• ON THE RECURSIVE FITTING OF SUBSET AUTOREGRESSIONS
• Subset Autoregression
• A Fast Model Selection Procedure for Large Families of Models
• Title not available (Why is that?)
• Title not available (Why is that?)
• RECURSIVE GENERALIZED M ESTIMATES FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• On the Use of AIC for the Detection of Outliers
• On a method of identification of best subset model from full ar-model
• Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'
• Search for significant variables in nonparametric additive regression
• ON THE SELECTION OF SUBSET AUTOREGRESSIVE TIME SERIES MODELS
• Identification of multivariate AR-models by threshold accepting
• THE RECURSIVE FITTING OF SUBSET VARX MODELS
• A method for simultaneous variable selection and outlier identification in linear regression
• Title not available (Why is that?)
• A goodness-of-fit test in robust time series modelling
• A comparison of several procedures for identifying outliers in contaminated ARMA processes
• Determining the order of an arm a model from outlier contaminated data
• Subset regression time series and its modeling procedures
• Variables Selection Using the Wald Test and a Robust C P
• On the recursive fitting of subset autoregressive-moving average process
• Title not available (Why is that?)
• Some variable selection procedures in multivariate linear regression models
• Robust Identification of Autoregressive Moving Average Models
• Asymptotic robustness of least median of squares for autoregressions with additive outliers
• Robust Bayesian Model Selection for Autoregressive Processes With Additive Outliers
• Estimating the Order of Autoregressive Models: The Max χ 2 Method
• PROJECTION MODULUS: A NEW DIRECTION FOR SELECTING SUBSET AUTOREGRESSIVE MODELS
• An approach to direct selection of best subset ar model

Cited In (2)

• Automatic selection of indicators in a fully saturated regression
• Estimating the inverse autocorrelation function from outlier contaminated data

Uses Software

• AS 183

This page was built for publication: Selecting sub-set autoregressions from outlier contaminated data.

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5940999)