Robust autoregressive estimates using quadratic programming

DOI10.1016/S0377-2217(96)00190-7zbMath0921.90038MaRDI QIDQ1278983

K. Appert

Publication date: 27 April 1999

Published in: European Journal of Operational Research (Search for Journal in Brave)

zbMATH Keywords

quadratic programmingtime seriesforecastingrobust estimationautoregressive parametersgeneral \(M\)-estimates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84) Applications of mathematical programming (90C90) Quadratic programming (90C20) Operations research and management science (90B99)

Related Items (1)

Deleting outliers in robust regression with mixed integer programming

Uses Software

• ROBETH

Cites Work

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• Robust Statistics

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