Robust Estimation For Periodic Autoregressive Time Series

DOI10.1111/J.1467-9892.2007.00555.XMaRDI QIDQ3608197zbMATH OpenOpenAlexFDO

Authors Q. Shao

Publication date 28 February 2009

Published in Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9892.2007.00555.x

zbMATH Keywords

estimating equationsasymptotic relative efficiency

Mathematics Subject Classification ID

Point estimation (62F10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites work

• scientific article; zbMATH DE number 3723610 (Why is no real title available?)
• Characterization of cyclostationary random signal processes
• Large sample properties of parameter estimates for periodic ARMA models
• On the asymptotic relative efficiency of Gaussian and least squares estimators for vector ARMA models
• Periodic Time Series Models
• Robust Estimation of a Location Parameter
• Robust Estimation of the First-Order Autoregressive Parameter
• Robust tests for time series with an application to first-order autoregressive processes

Cited in

(20)

• PARSIMONIOUS PERIODIC TIME SERIES MODELING
• Empirical study of robust estimation methods for PAR models with application to the air quality area
• PAR(1) model analysis: a web-based shiny application for analysing periodic autoregressive models
• Empirical study of periodic autoregressive models with additive noise – estimation and testing
• Innovations algorithm for periodically stationary time series
• Periodic autoregressive models with closed skew-normal innovations
• Parameter estimation of autoregressive models using the iteratively robust filtered fast- method
• LS estimation of periodic autoregressive models with non-Gaussian errors: a simulation study
• Least-squares estimation and ANOVA for periodic autoregressive time series
• Estimating weak periodic vector autoregressive time series
• Identification and validation of periodic autoregressive model with additive noise: finite-variance case
• Robust modelling of periodic vector autoregressive time series
• Robust estimation of periodic autoregressive processes in the presence of additive outliers
• A comparison of some estimators of the seasonal ACF for various PAR models
• Detection of periodic autocorrelation in time series data via zero-crossings
• Forecasting with prediction intervals for periodic autoregressive moving average models
• A Robust Regression Model for a First-Order Autoregressive Time Series with Unequal Spacing: Application to Water Monitoring
• Parsimonious periodic autoregressive models for time series with evolving trend and seasonality
• Detection and estimation of additive outliers in seasonal time series
• Robust estimation of the seasonal autocorrelation of the PAR(1) model

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