Robust recursive estimation in nonlinear time series

DOI10.1080/03610929808832146MaRDI QIDQ3842917zbMATH OpenOpenAlexFDO

Authors Tomáš Cipra

Publication date 20 August 1998

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

Full work available at URL https://doi.org/10.1080/03610929808832146

zbMATH Keywords

nonlinear time seriesoutliersrobust recursive estimationstrong consistency

Mathematics Subject Classification ID

Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

• Nonlinear autoregressive processes
• Note on parameter estimation for general non–linear time series models
• On nonlinear models for time series
• On practical implementation of robust kalman filtering
• Smoothed estimates for nonlinear time series models with irregular data

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• Robust estimation of nonlinear regression with autoregressive errors.
• Robust recursive Lp estimation
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• Robust recursive analysis of seasonal moving average models
• Recursive estimation of discrete-time signals from nonlinear randomly delayed observations

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