Robust estimation of bilinear time series models

DOI10.1080/03610929808832649zbMath0887.62091OpenAlexW2087544713MaRDI QIDQ4383745

M. M. Gabr

Publication date: 2 April 1998

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

Full work available at URL: https://doi.org/10.1080/03610929808832649

zbMATH Keywords

additive outliersrobust estimationbilinear modelsgeneralized \(M\) estimates

Mathematics Subject Classification ID

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

Related Items (6)

The effects of outliers on two nonlinearity tests ⋮ A unified approach to nonlinearity, structural change, and outliers ⋮ INFERENCE FOR A SPECIAL BILINEAR TIME-SERIES MODEL ⋮ NONLINEAR TIME SERIES PREDICTION BASED ON A POWER-LAW NOISE MODEL ⋮ Conditional testing for unit-root bilinearity in financial time series: some theoretical and empirical results ⋮ Outliers in functional autoregressive time series

Cites Work

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• ON THE THIRD-ORDER MOMENT STRUCTURE AND BISPECTRAL ANALYSIS OF SOME BILINEAR TIME SERIES
• YULE-WALKER TYPE DIFFERENCE EQUATIONS FOR HIGHER-ORDER MOMENTS AND CUMULANTS FOR BILINEAR TIME SERIES MODELS
• An Algorithm for Least-Squares Estimation of Nonlinear Parameters
• General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
• A TEST FOR LINEARITY OF STATIONARY TIME SERIES
• RECURSIVE GENERALIZED M ESTIMATES FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
• Robust Estimation of the First-Order Autoregressive Parameter
• Recursive estimation of bilinear time series models
• The Fitting of Power Series, Meaning Polynomials, Illustrated on Band-Spectroscopic Data

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