Robust estimation of AR coefficients under simultaneously influencing outliers and missing values

DOI10.1016/J.JSPI.2011.04.015MaRDI QIDQ546115zbMATH OpenOpenAlexFDO

Authors Yuriĭ Semenovich Kharin, Valeriy A. Voloshko

Publication date 24 June 2011

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jspi.2011.04.015

zbMATH Keywords

autoregressionCauchy distributiontime series

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• A survey of robust statistics
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Cited in

(5)

• Statistical estimation of parameters for binary conditionally nonlinear autoregressive time series
• On asymptotic properties of the plug-in cepstrum estimator for Gaussian time series
• ML estimation of multiple regression parameters under classification of the dependent variable
• Detection of embeddings in binary Markov chains
• New estimator for an unknown mean Gaussian AR(1) process with additivity outliers

Describes a project that uses

Uses Software

• TDSL
• robustbase
• TSDL

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