Robust estimation of periodic autoregressive processes in the presence of additive outliers
DOI10.1016/J.JMVA.2010.05.006zbMATH Open1323.62087OpenAlexW2062820118MaRDI QIDQ990899FDOQ990899
Alessandro J. Q. Sarnaglia, Céline Lévy-Leduc, Valdério Anselmo Reisen
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
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
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Cited In (11)
- 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 For Periodic Autoregressive Time Series
- An \(M\)-estimator for the long-memory parameter
- 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
- Identification and validation of periodic autoregressive model with additive noise: finite-variance case
- Robust modelling of periodic vector autoregressive time series
- Robust Two-Step Wavelet-Based Inference for Time Series Models
- M-periodogram for the analysis of long-range-dependent time series
- Detection and estimation of additive outliers in seasonal time series
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