Methods for recursive robust estimation of AR parameters

DOI10.1016/0167-9473(94)90146-5zbMath0937.62533OpenAlexW1975581987MaRDI QIDQ1361507

Ken Sejling, Ulla Holst, Jan-Eric Englund, Jan Holst, Henrik Madsen

Publication date: 25 August 1997

Published in: Computational Statistics and Data Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-9473(94)90146-5

zbMATH Keywords

time series analysisrobust estimationrecursive estimationadditive and innovation outliersbounded-influence estimation

Mathematics Subject Classification ID

Statistics (62-XX)

Related Items (4)

Asymmetric recursive methods for time series ⋮ Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models ⋮ Computing and estimating information matrices of weak ARMA models ⋮ Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers

Uses Software

• IMSL Numerical Libraries

Cites Work

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• RECURSIVE GENERALIZED M ESTIMATES FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Approximate non-Gaussian filtering with linear state and observation relations
• Robust estimation via stochastic approximation
• Robust Estimation of the First-Order Autoregressive Parameter
• Robust Estimation of a Location Parameter
• Robust Statistics

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