Robust estimation of (partial) autocorrelation
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Cites work
- A comparison of some estimators of time series autocorrelations
- A distribution-free M-estimator of multivariate scatter
- A New Robust Estimation Method for ARMA Models
- A periodogram-based metric for time series classification
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- Alternatives to the Median Absolute Deviation
- Approximate non-Gaussian filtering with linear state and observation relations
- ARCH modeling in finance. A review of the theory and empirical evidence
- Asymptotic behaviour of S-estimates of multivariate location parameters and dispersion matrices
- Characterization of the partial autocorrelation function
- Estimation of GARCH models from the autocorrelations of the squares of a process
- Estimators based on ranks for arma models
- Finding multivariate outliers with FastPCS
- Generalized autoregressive conditional heteroscedasticity
- Heavy-tailed densities
- Highly robust estimation of dispersion matrices
- Highly robust estimation of the autocovariance function
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- Influence function and efficiency of the minimum covariance determinant scatter matrix estimator
- Influence functions and efficiencies of the canonical correlation and vector estimates based on scatter and shape matrices
- Influence functions of the Spearman and Kendall correlation measures
- Limit theory for the sample covariance and correlation functions of moving averages
- On the relation between S-estimators and M-estimators of multivariate location and covariance
- Rank-Based Autoregressive Order Identification
- Regular variation of GARCH processes.
- Robust Identification of Autoregressive Moving Average Models
- Robust m-estimators of multivariate location and scatter
- Robust Statistics
- Semidefinite and second-order cone optimization approach for the Toeplitz matrix approximation problem
- Testing for periodic autocorrelations in seasonal time series data
- THE GARCH OPTION PRICING MODEL
- The Gaussian rank correlation estimator: robustness properties
- The sample autocorrelations of heavy-tailed processes with applications to ARCH
Cited in
(5)- Nonparametric directional variogram estimation in the presence of outlier blocks
- Robust singular spectrum analysis: comparison between classical and robust approaches for model fit and forecasting
- Conditional correlation estimation and serial dependence identification
- Change-point analysis using two-sample empirical likelihood method with applications to climatology
- Robust scale estimation for strongly mixing processes under shifts in the mean
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