On robust forecasting in dynamic vector time series models

DOI10.1016/J.JSPI.2008.02.015MaRDI QIDQ951052zbMATH OpenOpenAlexFDO

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

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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