Robust Regression on Stationary Time Series: A Self‐Normalized Resampling Approach

DOI10.1111/JTSA.12295zbMath1392.62258OpenAlexW2792972841WikidataQ130065601 ScholiaQ130065601MaRDI QIDQ4640228

Fumiya Akashi, Murad S. Taqqu, Shuyang Bai

Publication date: 16 May 2018

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

Full work available at URL: https://doi.org/10.1111/jtsa.12295

zbMATH Keywords

heavy tailslong-range dependencesubsamplingM-estimationself-normalizationtime series regression

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05)

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