Estimating the inverse autocorrelation function from outlier contaminated data

DOI10.1007/s001800000048zbMath1037.62087OpenAlexW3123754435MaRDI QIDQ1424610

Richard Glendinning

Publication date: 16 March 2004

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s001800000048

zbMATH Keywords

Monte Carlo simulationrobust estimationorder selectionadditive outlierinverse autocorreletion

Mathematics Subject Classification ID

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

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