Robust and consistent estimates of autoregressive-moving average parameters

DOI10.1093/BIOMET/74.4.791MaRDI QIDQ3765032zbMATH OpenOpenAlexFDO

Authors Guido Masarotto

Publication date 1987

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/74.4.791

zbMATH Keywords

consistentestimates of autoregressive-moving average parametersgeneralized M-estimatesnominal Gaussian modeloutliersrobust estimationrobust version of maximum likelihood estimates of order r

Mathematics Subject Classification ID

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

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