Selecting sub-set autoregressions from outlier contaminated data.

DOI10.1016/S0167-9473(00)00038-4MaRDI QIDQ5940999zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

Model selectionData cleaningSub-set autoregressionRobust proceduresAdditive outlierBackward selection

Mathematics Subject Classification ID

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

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

Cites work

• scientific article; zbMATH DE number 3842986 (Why is no real title available?)
• scientific article; zbMATH DE number 4147359 (Why is no real title available?)
• scientific article; zbMATH DE number 3907620 (Why is no real title available?)
• scientific article; zbMATH DE number 36676 (Why is no real title available?)
• scientific article; zbMATH DE number 1211737 (Why is no real title available?)
• scientific article; zbMATH DE number 472959 (Why is no real title available?)
• A Fast Model Selection Procedure for Large Families of Models
• A Robust Version of Mallows's C p
• A comparison of several procedures for identifying outliers in contaminated ARMA processes
• A goodness-of-fit test in robust time series modelling
• A method for simultaneous variable selection and outlier identification in linear regression
• An approach to direct selection of best subset ar model
• Asymptotic robustness of least median of squares for autoregressions with additive outliers
• Bayesian Variable Selection in Linear Regression
• Computing the Exact Least Median of Squares Estimate and Stability Diagnostics in Multiple Linear Regression
• Determining the order of an arm a model from outlier contaminated data
• Estimating the Order of Autoregressive Models: The Max χ 2 Method
• How Many Clusters? Which Clustering Method? Answers Via Model-Based Cluster Analysis
• Identification of multivariate AR-models by threshold accepting
• Multivariate subset autoregressive modelling with zero constraints for detecting 'overall causality'
• ON THE RECURSIVE FITTING OF SUBSET AUTOREGRESSIONS
• ON THE SELECTION OF SUBSET AUTOREGRESSIVE TIME SERIES MODELS
• On One-Step GM Estimates and Stability of Inferences in Linear Regression
• On a method of identification of best subset model from full ar-model
• On the Use of AIC for the Detection of Outliers
• On the recursive fitting of subset autoregressive-moving average process
• PROJECTION MODULUS: A NEW DIRECTION FOR SELECTING SUBSET AUTOREGRESSIVE MODELS
• Prediction Via Orthogonalized Model Mixing
• RECURSIVE GENERALIZED M ESTIMATES FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Regression and time series model selection in small samples
• Robust Bayesian Model Selection for Autoregressive Processes With Additive Outliers
• Robust Identification of Autoregressive Moving Average Models
• Robust Linear Model Selection by Cross-Validation
• Search for significant variables in nonparametric additive regression
• Some variable selection procedures in multivariate linear regression models
• Subset Autoregression
• Subset regression time series and its modeling procedures
• THE RECURSIVE FITTING OF SUBSET VARX MODELS
• Variables Selection Using the Wald Test and a Robust C P

Cited in

(2)

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

Describes a project that uses

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)