Robust estimation in long-memory processes under additive outliers
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Nonparametric estimation (62G05) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Robustness and adaptive procedures (parametric inference) (62F35) Inference from stochastic processes and spectral analysis (62M15)
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Cites work
- scientific article; zbMATH DE number 1715060 (Why is no real title available?)
- scientific article; zbMATH DE number 3854249 (Why is no real title available?)
- scientific article; zbMATH DE number 795280 (Why is no real title available?)
- scientific article; zbMATH DE number 3395249 (Why is no real title available?)
- A test for additive outliers applicable to long-memory time series
- AN INTRODUCTION TO LONG-MEMORY TIME SERIES MODELS AND FRACTIONAL DIFFERENCING
- ASYMPTOTICS FOR THE LOW-FREQUENCY ORDINATES OF THE PERIODOGRAM OF A LONG-MEMORY TIME SERIES
- Alternatives to the Median Absolute Deviation
- An empirical investigation of the usefulness of ARFIMA models for predicting macroeconomic and financial time series
- Discrimination between monotonic trends and long-range dependence
- ESTIMATION OF THE FRACTIONAL DIFFERENCE PARAMETER IN THE ARIMA(p, d, q) MODEL USING THE SMOOTHED PERIODOGRAM
- Estimation of fractional integration in the presence of data noise
- Estimation of seasonal fractionally integrated processes
- Fractional differencing
- Gaussian semiparametric estimation of long range dependence
- Highly robust estimation of the autocovariance function
- Joint Estimation of Model Parameters and Outlier Effects in Time Series
- Log-periodogram regression of time series with long range dependence
- Long Memory Inflationary Dynamics: The Case of Brazil
- Long‐Memory Time Series
- Nonlinear log-periodogram regression for perturbed fractional processes
- On a class of M-estimators for Gaussian long-memory models
- Outliers in multivariate time series
- Parametric and semiparametric estimations of stationary univariate ARFIMA models
- Robust Statistics
- THE ESTIMATION AND APPLICATION OF LONG MEMORY TIME SERIES MODELS
- The mean squared error of Geweke and Porter-Hudak's estimator of the memory parameter of a long-memory time series
Cited in
(19)- The effects of additive outliers in INAR(1) process and robust estimation
- ARFIMA processes and outliers: a weighted likelihood approach
- A test for additive outliers applicable to long-memory time series
- Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes
- Robust estimation in time series with long and short memory properties
- A dimension reduction factor approach for multivariate time series with long-memory: a robust alternative method
- A comparative note about estimation of the fractional parameter under additive outliers
- An \(M\)-estimator for the long-memory parameter
- tsqn
- \(M\)-periodogram for the analysis of long-range-dependent time series
- Robust factor models for high-dimensional time series and their forecasting
- Robust Two-Step Wavelet-Based Inference for Time Series Models
- Central limit theorem for the robust log-regression wavelet estimation of the memory parameter in the Gaussian semi-parametric context
- Robust estimation of periodic autoregressive processes in the presence of additive outliers
- Robust Dickey-Fuller tests based on ranks for time series with additive outliers
- On seasonal functional modeling under strong dependence, with applications to mechanically ventilated breathing activity
- Robust factor modelling for high-dimensional time series: an application to air pollution data
- Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations
- Discrete variations of the fractional Brownian motion in the presence of outliers and an additive noise
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