Robust estimation of bilinear time series models

DOI10.1080/03610929808832649MaRDI QIDQ4383745zbMATH OpenOpenAlexFDO

Authors M. M. Gabr

Publication date 2 April 1998

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610929808832649

zbMATH Keywords

additive outliersbilinear modelsgeneralized \(M\) estimatesrobust estimation

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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Cites work

• A TEST FOR LINEARITY OF STATIONARY TIME SERIES
• An Algorithm for Least-Squares Estimation of Nonlinear Parameters
• Asymptotic properties for the first-order bilinear time series model
• Bilinear Markovian representation and bilinear models
• DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR THE BILINEAR TIME SERIES MODEL BL(p, 0, p, 1)
• General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
• scientific article; zbMATH DE number 1069598 (Why is no real title available?)
• Influence functionals for time series (with discussion)
• ON THE THIRD-ORDER MOMENT STRUCTURE AND BISPECTRAL ANALYSIS OF SOME BILINEAR TIME SERIES
• Recursive estimation of bilinear time series models
• RECURSIVE GENERALIZED M ESTIMATES FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Robust Estimation of the First-Order Autoregressive Parameter
• The Fitting of Power Series, Meaning Polynomials, Illustrated on Band-Spectroscopic Data
• YULE-WALKER TYPE DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR BILINEAR TIME SERIES MODELS

Cited in

(16)

• Potential problems in estimating bilinear time-series models
• Detection of additive outliers in bilinear time series
• Robust estimation for binomial conditionally nonlinear autoregressive time series based on multivariate conditional frequencies
• Outliers in functional autoregressive time series
• Bias correction for outlier estimation in time series
• Bilateral autoregressive models for data validation in time series
• A unified approach to nonlinearity, structural change, and outliers
• Linear regressions with bilinear time series errors
• INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL
• NONLINEAR TIME SERIES PREDICTION BASED ON A POWER-LAW NOISE MODEL
• The effects of outliers on two nonlinearity tests
• A CONDITIONAL LEAST SQUARES APPROACH TO BILINEAR TIME SERIES ESTIMATION
• Robust time series analysis via measurement error modeling
• scientific article; zbMATH DE number 2362601 (Why is no real title available?)
• On the sieve M-estimation for a special bilinear time series model with time-functional variance noises
• Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results

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