Robust Transformations in Univariate and Multivariate Time Series

DOI10.1080/07474930802388074MaRDI QIDQ3615088zbMATH OpenOpenAlexFDO

Authors Marco Riani

Publication date 17 March 2009

Published in Econometric Reviews (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474930802388074

zbMATH Keywords

fan plotforward searchItalian industrial productionKalman filteroutlier detectionrobust methodsscore test

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics in engineering and industry; control charts (62P30)

Recommendations

• Robust Box-Cox transformations based on minimum residual autocorrelation
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Cites work

• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias
• Exploring multivariate data with the forward search.
• Fast likelihood evaluation and prediction for nonstationary state space models
• Filtering and smoothing of state vector for diffuse state-space models
• scientific article; zbMATH DE number 3932235 (Why is no real title available?)
• scientific article; zbMATH DE number 777596 (Why is no real title available?)
• Least Median of Squares Regression
• Robust diagnostic regression analysis
• Robust methods for the analysis of spatially autocorrelated data
• STATIONARY AND NON-STATIONARY STATE SPACE MODELS

Cited in

(7)

• Optimal transformations and the spectral envelope for real-valued time series
• The Box-Cox transformation: review and extensions
• The forward search: theory and data analysis
• Selecting a linearizing power transformation for time series
• Robust Response Transformations Based on Optimal Prediction
• A resistant measure of heteroskedasticity in explorative time series analysis
• Detecting Deviating Data Cells

Describes a project that uses

Uses Software

• TRAMO

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