Determining the order of an arm a model from outlier contaminated data

DOI10.1080/03610929808832648zbMath0887.62093OpenAlexW2038095868MaRDI QIDQ4383744

Richard Glendinning

Publication date: 25 May 1998

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

Full work available at URL: https://doi.org/10.1080/03610929808832648

zbMATH Keywords

pattern recognitionmodel selectionARMA processadditive outliersrobust estimationbootstrapping

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Nonparametric statistical resampling methods (62G09)

Related Items (2)

Estimating the inverse autocorrelation function from outlier contaminated data ⋮ Selecting sub-set autoregressions from outlier contaminated data.

Cites Work

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• Identification of autoregressive moving-average parameters of time series
• Two chi-square statistics for determining the orders p and q of an ARMA (p, q) process
• ROBUST BAYESIAN ESTIMATION OF AUTOREGRESSIVE‐‐MOVING‐AVERAGE MODELS
• Model selection for infinite variance time series
• A comparison of some autocovariance-based methods of arma model selection: a simulation study

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