Robust Identification of Autoregressive Moving Average Models

DOI10.2307/2347553zbMath0617.62098OpenAlexW2503199538MaRDI QIDQ4727246

Guido Masarotto

Publication date: 1987

Published in: Applied Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/2347553

zbMATH Keywords

outliersrobust identificationARMAconfidence bandsrobust estimatesautoregressive moving average modelspartial autocorrelationunivariate stationary time series

Mathematics Subject Classification ID

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

Related Items (4)

Estimating the inverse autocorrelation function from outlier contaminated data ⋮ Sign and rank covariance matrices ⋮ Selecting sub-set autoregressions from outlier contaminated data. ⋮ A comparison of some estimators of time series autocorrelations

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