On robust estimation in the first order autoregressive processes

DOI10.1080/03610920008832467zbMath0955.62091OpenAlexW2090004173MaRDI QIDQ4493674

John N. Haddad

Publication date: 27 February 2001

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

Full work available at URL: https://doi.org/10.1080/03610920008832467

zbMATH Keywords

simulationsadditive outliersautoregressive processleast squares estimategeneralized \(M\)-estimatemedian substitute estimate

Mathematics Subject Classification ID

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

Related Items (4)

Testing Independence in Linear Process with Non-Normal Innovations ⋮ Robust Testing Serial Correlation in AR(1) Processes in the Presence of a Single Additive Outlier ⋮ Inference About the First-Order Autoregressive Coefficient ⋮ Effect of autocorrelation estimators on the performance of the X̄ control chart

Cites Work

• Strong mixing properties of linear stochastic processes
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