An algorithm for robust fitting of autoregressive models

DOI10.1016/J.ECONLET.2008.12.004zbMath1175.62096OpenAlexW2068754830MaRDI QIDQ1036852

Dimitris N. Politis

Publication date: 13 November 2009

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2008.12.004

zbMATH Keywords

outlierslinear time seriesARMA models

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (2)

Stable Autoregressive Models and Signal Estimation ⋮ Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models

Cites Work

• Robust and nonlinear time series analysis. Proceedings of a Workshop organized by the Sonderforschungsbereich 123 Stochastische Mathematische Modelle, Heidelberg 1983
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