Robust estimation for binomial conditionally nonlinear autoregressive time series based on multivariate conditional frequencies
DOI10.1016/j.jmva.2021.104777zbMath1470.62131OpenAlexW3169490264MaRDI QIDQ2048121
Valeriy A. Voloshko, Yuriy S. Kharin
Publication date: 5 August 2021
Published in: Journal of Multivariate Analysis (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jmva.2021.104777
robustnessparameter estimationsensitivity analysisinnovation outliersdiscrete-valued time seriesmultivariate conditional frequencies
Asymptotic properties of parametric estimators (62F12) Computational methods for problems pertaining to statistics (62-08) Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Markov processes: estimation; hidden Markov models (62M05)
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