Robust estimation for vector autoregressive models

DOI10.1016/j.csda.2012.02.011zbMath1471.62146OpenAlexW2083474373MaRDI QIDQ1800108

Nora Muler, Víctor J. Yohai

Publication date: 19 October 2018

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

Full work available at URL: https://doi.org/10.1016/j.csda.2012.02.011

zbMATH Keywords

robust estimatorsVAR modelsBMM-estimator

Mathematics Subject Classification ID

Computational methods for problems pertaining to statistics (62-08) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (6)

Multivariate Autoregressive Time Series Using Schweppe Weighted Wilcoxon Estimates ⋮ Robust bootstrap prediction intervals for univariate and multivariate autoregressive time series models ⋮ A robust functional time series forecasting method ⋮ Rate-optimal robust estimation of high-dimensional vector autoregressive models ⋮ Special issue on robust analysis of complex data ⋮ Statistical analysis of multivariate discrete-valued time series

Uses Software

• robustbase

Cites Work

• High breakdown-point and high efficiency robust estimates for regression
• Robust estimates for GARCH models
• Robust estimation for ARMA models
• On the optimality of S-estimators
• Robust M-estimation of multivariate GARCH models
• Robust exponential smoothing of multivariate time series
• Robust estimation for the multivariate linear model based on a \(\tau\)-scale
• Robust Estimation in Vector Autoregressive Moving-Average Models
• High Breakdown-Point Estimates of Regression by Means of the Minimization of an Efficient Scale
• Robust estimation of the SUR model
• Robust Statistics
• Outlier Detection in Multivariate Time Series by Projection Pursuit
• Robust Statistics
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