Robust Identification of Autoregressive Moving Average Models

DOI10.2307/2347553MaRDI QIDQ4727246zbMATH OpenOpenAlexFDO

Authors Guido Masarotto

Publication date 1987

Published in Applied Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2307/2347553

zbMATH Keywords

ARMAautoregressive moving average modelsconfidence bandsoutlierspartial autocorrelationrobust estimatesrobust identificationunivariate stationary time series

Mathematics Subject Classification ID

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

Recommendations

• Robust and consistent estimates of autoregressive-moving average parameters
• Robust estimation for ARMA models
• scientific article; zbMATH DE number 3842986
• A UNIFIED APPROACH TO ARMA MODEL IDENTIFICATION AND PRELIMINARY ESTIMATION
• ROBUST BAYESIAN ESTIMATION OF AUTOREGRESSIVE‐‐MOVING‐AVERAGE MODELS

Cited in

(22)

• Robust estimation for ARMA models
• Estimating the inverse autocorrelation function from outlier contaminated data
• A comparison of some estimators of time series autocorrelations
• Robust estimation in vector autoregressive moving-average models
• scientific article; zbMATH DE number 4018198 (Why is no real title available?)
• scientific article; zbMATH DE number 1799342 (Why is no real title available?)
• scientific article; zbMATH DE number 4178489 (Why is no real title available?)
• scientific article; zbMATH DE number 3842986 (Why is no real title available?)
• A UNIFIED APPROACH TO ARMA MODEL IDENTIFICATION AND PRELIMINARY ESTIMATION
• scientific article; zbMATH DE number 3954109 (Why is no real title available?)
• Ordinary and proper location M-estimates for autoregressive-moving average models
• Robust and consistent estimates of autoregressive-moving average parameters
• scientific article; zbMATH DE number 4041765 (Why is no real title available?)
• Determining the order of an arm a model from outlier contaminated data
• scientific article; zbMATH DE number 1959650 (Why is no real title available?)
• Rank-Based Autoregressive Order Identification
• A Robust Identification Technique for Time-Varying ARMA Processes Based on Variable Structure Systems Theory
• Robust recursive analysis of seasonal moving average models
• Sign and rank covariance matrices
• Selecting sub-set autoregressions from outlier contaminated data.
• Sparse Identification and Estimation of Large-Scale Vector AutoRegressive Moving Averages
• Robust estimation of (partial) autocorrelation

This page was built for publication: Robust Identification of Autoregressive Moving Average Models

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4727246)