Robust estimates for arch processes

DOI10.1111/1467-9892.00268zbMath1022.62083OpenAlexW3125540297MaRDI QIDQ4431624

Víctor J. Yohai, Nora Muler

Publication date: 22 October 2003

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1111/1467-9892.00268

zbMATH Keywords

filteringmodified likelihood estimationtau-estimate

Mathematics Subject Classification ID

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

Related Items (15)

Mallows' quasi-likelihood estimation for log-linear Poisson autoregressions ⋮ Robust and efficient estimation of multivariate scatter and location ⋮ Robust tests for linear regression models based on \(\tau\)-estimates ⋮ A robust proposal of estimation for the sufficient dimension reduction problem ⋮ M-estimates for the multiplicative error model ⋮ High-breakdown robust multivariate methods ⋮ Robust M-estimation of multivariate GARCH models ⋮ Robust estimates for GARCH models ⋮ On robust testing for conditional heteroscedasticity in time series models ⋮ Effects of outliers on the identification and estimation of GARCH models ⋮ Unnamed Item ⋮ M-Estimator of a Generalized Linear Model with Measurement Errors ⋮ Robust estimation methods for a class of log-linear count time series models ⋮ M-estimate for the stationary hyperbolic GARCH models ⋮ Robust parameter estimation for the Ornstein-Uhlenbeck process

Cites Work

• On the optimality of S-estimators
• Mixing: Properties and examples
• Generalized autoregressive conditional heteroscedasticity
• Approximate non-Gaussian filtering with linear state and observation relations

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