Two new approaches to robust estimation in time series

DOI10.1080/00949659008811228zbMath0726.62147OpenAlexW1981840192MaRDI QIDQ3350577

Chan-Lam Lo, Wai Keung Li

Publication date: 1990

Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/00949659008811228

zbMATH Keywords

autoregressive modeladditive outliersrelative efficiencyleast squares methodsSimulation experimentsinnovation outliersYule-Walkerrobust covariance matrixbreakdown boundsrobust autocorrelationrobust time series modelling

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Monte Carlo methods (65C05)

Uses Software

• AS 183

Cites Work

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• Robust Procedures in Multivariate Analysis I: Robust Covariance Estimation
• Robust estimation and outlier detection with correlation coefficients
• Confidence Interval Robustness with Long-Tailed Symmetric Distributions
• A Convenient Method for Generating Normal Variables
• Robust Estimates of Location: Survey and Advances
• Robust Statistics

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