Robust Estimation in Vector Autoregressive Moving-Average Models

DOI10.1111/1467-9892.00144zbMath0956.62074OpenAlexW2044749499MaRDI QIDQ2703241

Elena J. Martínez, Víctor J. Yohai, Marta García Ben

Publication date: 1 March 2001

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00144

zbMATH Keywords

robust estimationmultivariate time seriesvector ARMA modelsmultivariate portmanteau test

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Hypothesis testing in multivariate analysis (62H15) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (11)

Multivariate Autoregressive Time Series Using Schweppe Weighted Wilcoxon Estimates ⋮ WeightedL₁-estimates for a VAR(p) time series model ⋮ Robust exponential smoothing of multivariate time series ⋮ Robust modelling of periodic vector autoregressive time series ⋮ Robust estimation of stationary continuous‐time arma models via indirect inference ⋮ On robust forecasting in dynamic vector time series models ⋮ Robust estimation for vector autoregressive models ⋮ Robust and powerful serial correlation tests with new robust estimates in ARX models ⋮ Statistical analysis of multivariate discrete-valued time series ⋮ A Generalized Portmanteau Test For Independence Of Two Infinite-Order Vector Autoregressive Series ⋮ On the asymptotic distribution of a multivariate GR-estimate for a VAR(\(p\)) time series.

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