Studentized autoregressive time series residuals

DOI10.1007/s001800300135zbMath1037.62093OpenAlexW2546599668MaRDI QIDQ1424637

Kirk Anderson, Jeffrey T. Terpstra, Joseph W. McKean

Publication date: 16 March 2004

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

Full work available at URL: https://doi.org/10.1007/s001800300135

zbMATH Keywords

least squaresoutlierrobust estimationconditional varianceAR(1) series

Mathematics Subject Classification ID

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

Cites Work

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• Infinitesimal robustness for autoregressive processes
• Time series: theory and methods.
• \(R\)-estimation of the parameters of autoregressive [AR(\(p\)) models]
• Highly efficient weighted for autoregression wilcoxon estimes for autoregression

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