Robust estimation of periodic autoregressive processes in the presence of additive outliers
DOI10.1016/J.JMVA.2010.05.006zbMATH Open1323.62087OpenAlexW2062820118MaRDI QIDQ990899FDOQ990899
Authors: Alessandro J. Q. Sarnaglia, Valdério Anselmo Reisen, Céline Lévy-Leduc 
Publication date: 1 September 2010
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2010.05.006
Recommendations
- Robust Estimation For Periodic Autoregressive Time Series
- Robust estimation of the seasonal autocorrelation of the PAR(1) model
- Robust modelling of periodic vector autoregressive time series
- Robust estimation in long-memory processes under additive outliers
- Robust time series estimation via weighted likelihood
Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35)
Cites Work
- Highly robust estimation of the autocovariance function
- Robust estimation in long-memory processes under additive outliers
- Estimating the dimension of a model
- Asymptotic Statistics
- Title not available (Why is that?)
- Title not available (Why is that?)
- Alternatives to the Median Absolute Deviation
- Title not available (Why is that?)
- Joint Estimation of Model Parameters and Outlier Effects in Time Series
- Title not available (Why is that?)
- Asymptotic theory of weakly dependent stochastic processes
- Title not available (Why is that?)
- Periodically Correlated Random Sequences
- Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
- On modelling and diagnostic checking of vector periodic autoregressive time series models
- Robust Estimation For Periodic Autoregressive Time Series
- Robust Estimation of the First-Order Autoregressive Parameter
- DIAGNOSTIC CHECKING OF PERIODIC AUTOREGRESSION MODELS WITH APPLICATION
- Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes
- Parameter Estimation for Periodically Stationary Time Series
- Characterization of cyclostationary random signal processes
- PERIODIC CORRELATION IN STRATOSPHERIC OZONE DATA
- Testing for periodic autocorrelations in seasonal time series data
- Least-squares estimation and ANOVA for periodic autoregressive time series
- Recursive prediction and likelihood evaluation for periodic ARMA models
- Parsimony, Model Adequacy and Periodic Correlation in Time Series Forecasting
- Title not available (Why is that?)
Cited In (17)
- Empirical study of robust estimation methods for PAR models with application to the air quality area
- Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations
- Robust estimation in time series with long and short memory properties
- Robust Estimation For Periodic Autoregressive Time Series
- An \(M\)-estimator for the long-memory parameter
- A comparative note about estimation of the fractional parameter under additive outliers
- A periodic and seasonal statistical model for non-negative integer-valued time series with an application to dispensed medications in respiratory diseases
- The effects of additive outliers in INAR(1) process and robust estimation
- \(M\)-periodogram for the analysis of long-range-dependent time series
- Robust test for detecting outliers in periodic processes using modified Hampel's statistic
- Identification and validation of periodic autoregressive model with additive noise: finite-variance case
- Robust modelling of periodic vector autoregressive time series
- A comparison of some estimators of the seasonal ACF for various PAR models
- Robust Two-Step Wavelet-Based Inference for Time Series Models
- Detection and estimation of additive outliers in seasonal time series
- Robust estimation of the seasonal autocorrelation of the PAR(1) model
- Title not available (Why is that?)
This page was built for publication: Robust estimation of periodic autoregressive processes in the presence of additive outliers
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q990899)
