Robust estimation in time series

DOI10.1007/BF02595713zbMath1037.62089MaRDI QIDQ1874751

Carlos I. Martínez, Raul Pedro Mentz

Publication date: 25 May 2003

Published in: Test (Search for Journal in Brave)

zbMATH Keywords

robustnessmaximum likelihoodestimation of error variancecontaminated errorsfirst-order moving average model

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Probabilistic models, generic numerical methods in probability and statistics (65C20)

Uses Software

• ITSM
• R
• MINITAB
• S-PLUS

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Time Series Models in Non-Normal Situations: Symmetric Innovations
• Simulations of iterative proceduresfor maximum likelihood estimation in MA(1) models
• WHY DO NONINVERTIBLE ESTIMATED MOVING AVERAGES OCCUR?*
• Mixture Models, Outliers, and the EM Algorithm
• ON THE STRUCTURE OF THE LIKELIHOOD FUNCTION OF AUTOREGRESSIVE AND MOVING AVERAGE MODELS
• Intervention Analysis with Applications to Economic and Environmental Problems
• Evaluation of quadratic forms and traces for iterative estimation in first-order moving average models
• Robust Estimates of Location: Survey and Advances

This page was built for publication: Robust estimation in time series