Penalized multiply robust estimation in high-order autoregressive processes with missing explanatory variables

DOI10.1016/j.jmva.2021.104867zbMath1480.62104OpenAlexW3208648863MaRDI QIDQ2057845

Wanying Zhang, De-Hui Wang, Wei Xiong, Dianliang Deng, Xin-Yang Wang

Publication date: 7 December 2021

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2021.104867

zbMATH Keywords

time seriesmodel misspecificationmissing at random (MAR)multiple robustness

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Missing data (62D10)

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