Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers

DOI10.1016/S0167-9473(99)00016-XzbMath1061.62557OpenAlexW1973796791MaRDI QIDQ1606507

R. Smith

Publication date: 29 July 2002

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

Full work available at URL: https://doi.org/10.1016/s0167-9473(99)00016-x

zbMATH Keywords

SimulationLeast median of squaresRobust estimationFunctional least squaresInnovation and additive outliers

Mathematics Subject Classification ID

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

Related Items (3)

Robust signal extraction for on-line monitoring data. ⋮ Fourier Methods for Sequential Change Point Analysis in Autoregressive Models ⋮ Bootstrap Procedures for Online Monitoring of Changes in Autoregressive Models

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