Asymmetric recursive methods for time series

zbMath0806.62075MaRDI QIDQ1340773

Tomáš Cipra

Publication date: 16 February 1995

Published in: Applications of Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/32879

zbMATH Keywords

Kalman filteringexponential smoothingautoregressive modelasymmetric least squaresasymmetric loss functionsasymmetric error distributionsasymmetric recursive estimationasymmetric time seriesrecursive time series methodsrecursive treatment of Box-Jenkins modelssplit-normal distribution

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Filtering in stochastic control theory (93E11) Signal detection and filtering (aspects of stochastic processes) (60G35)

Cites Work

• Asymmetric Least Squares Estimation and Testing
• Recursive computation of M-estimates for the parameters of a finite autoregressive process
• On M-methods in growth curve analysis with asymmetric errors
• Methods for recursive robust estimation of AR parameters
• Prediction with a Generalized Cost of Error Function
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