Robust multiple time series modelling

DOI10.1093/BIOMET/76.2.309MaRDI QIDQ3817480zbMATH OpenOpenAlexFDO

Authors

Publication date 1989

Published in Biometrika (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/biomet/76.2.309

zbMATH Keywords

model diagnostic checkingmultiple time seriesresidual autocovariancesrobust estimationrobustified multivariate portmanteau statisticvector autoregression

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35) Multivariate distribution of statistics (62H10) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cited in

(15)

• On the asymptotic distribution of a multivariate GR-estimate for a VAR(p) time series.
• Robust estimation for the covariance matrix of multivariate time series based on normal mixtures
• Further results on a robust multivariate time series analysis in nonlinear models with autoregressive and t-distributed errors
• Robust estimation of a time series model with structural change
• Two new approaches to robust estimation in time series
• WeightedL₁-estimates for a VAR(p) time series model
• scientific article; zbMATH DE number 3954121 (Why is no real title available?)
• scientific article; zbMATH DE number 1216594 (Why is no real title available?)
• Robust modelling of periodic vector autoregressive time series
• Multivariate autoregressive time series using Schweppe weighted Wilcoxon estimates
• Robust time series analysis via measurement error modeling
• Robust estimation for the covariance matrix of multi-variate time series
• A Robust Regression Model for a First-Order Autoregressive Time Series with Unequal Spacing: Application to Water Monitoring
• On robust forecasting in dynamic vector time series models
• On robust testing for conditional heteroscedasticity in time series models

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