Robust estimation for ARMA models

DOI10.1214/07-AOS570zbMath1162.62405arXiv0904.0106OpenAlexW3100325525MaRDI QIDQ1020981

Nora Muler, Daniel Peña, Víctor J. Yohai

Publication date: 4 June 2009

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.0106

zbMATH Keywords

outlierstime seriesMM-estimates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Monte Carlo methods (65C05)

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Uses Software

• robustbase

Cites Work

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• Stochastic Limit Theory
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• Robust Statistics
• Robust Estimation of a Location Parameter
• Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
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