Robust estimation of stationary continuous‐time arma models via indirect inference
DOI10.1111/jtsa.12526zbMath1453.62394arXiv1804.00849OpenAlexW3022299804MaRDI QIDQ5135315
Vicky Fasen-Hartmann, Sebastian Kimmig
Publication date: 20 November 2020
Published in: Journal of Time Series Analysis (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1804.00849
robustnessresistanceoutlierCARMA processindirect estimatorLS-estimatorAR processinfluence functionalGM-estimator
Processes with independent increments; Lévy processes (60G51) Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) Stationary stochastic processes (60G10)
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