Robust recursive estimation in nonlinear time series

DOI10.1080/03610929808832146zbMath0915.62071OpenAlexW2151975799MaRDI QIDQ3842917

Tomáš Cipra

Publication date: 20 August 1998

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929808832146

zbMATH Keywords

outliersnonlinear time seriesstrong consistencyrobust recursive estimation

Mathematics Subject Classification ID

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

Cites Work

• Note on parameter estimation for general non–linear time series models
• Nonlinear autoregressive processes
• Smoothed estimates for nonlinear time series models with irregular data
• On nonlinear models for time series
• On practical implementation of robust kalman filtering

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