On robust forecasting in dynamic vector time series models

DOI10.1016/J.JSPI.2008.02.015zbMATH Open1146.62068OpenAlexW2092366977MaRDI QIDQ951052FDOQ951052

Authors: Christian Gagné, P. Duchesne 

Publication date: 29 October 2008

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.2008.02.015

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zbMATH Keywords

predictionmultivariate time seriesexogenous variablesadditive outliersrobust estimators

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Estimation in multivariate analysis (62H12) Inference from stochastic processes and prediction (62M20) Robustness and adaptive procedures (parametric inference) (62F35)

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Cited In (1)

• Robust modelling of periodic vector autoregressive time series

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