Efficient robust estimation of time-series regression models.
DOI10.1007/S10492-008-0009-XzbMATH Open1189.62140OpenAlexW3123288227MaRDI QIDQ834023FDOQ834023
Authors: P. Čížek 
Publication date: 17 August 2009
Published in: Applications of Mathematics (Search for Journal in Brave)
Full work available at URL: https://eudml.org/doc/37783
Recommendations
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Sequential estimation (62L12)
Cites Work
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- A class of robust and fully efficient regression estimators
- Least trimmed squares in nonlinear regression under dependence
- High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
- Comprehensive Definitions of Breakdown Points for Independent and Dependent Observations
Cited In (5)
- Semiparametrically weighted robust estimation of regression models
- Robust Regression on Stationary Time Series: A Self‐Normalized Resampling Approach
- Modified quantum-behaved particle swarm optimization for parameters estimation of generalized nonlinear multi-regressions model based on Choquet integral with outliers
- Some diagnostic tools in robust econometrics
- Robust Two-Step Wavelet-Based Inference for Time Series Models
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