Robust Transformations in Univariate and Multivariate Time Series

DOI10.1080/07474930802388074zbMath1156.62057OpenAlexW2081193171MaRDI QIDQ3615088

Marco Riani

Publication date: 17 March 2009

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474930802388074

zbMATH Keywords

Kalman filterscore testforward searchoutlier detectionrobust methodsfan plotItalian industrial production

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics in engineering and industry; control charts (62P30) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items

The forward search: theory and data analysis ⋮ The Box-Cox transformation: review and extensions

Uses Software

• TRAMO

Cites Work

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• Least Median of Squares Regression
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• Fast likelihood evaluation and prediction for nonstationary state space models
• Filtering and smoothing of state vector for diffuse state-space models
• An Efficient Method of Estimating Seemingly Unrelated Regressions and Tests for Aggregation Bias