Parameter Estimation of Autoregressive Models Using the Iteratively Robust Filtered Fast-τ Method

DOI10.1080/03610926.2012.724504zbMath1305.62133OpenAlexW2027095139MaRDI QIDQ5172812

Hamid Reza Shahriari, Nima Shariati, Rasoul Shafaei

Publication date: 5 February 2015

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

Full work available at URL: https://doi.org/10.1080/03610926.2012.724504

zbMATH Keywords

time seriesoutlierrobust filteringrobust estimationautocorrelation\(\tau\)-estimate

Mathematics Subject Classification ID

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

Related Items (1)

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Uses Software

• RobASt

Cites Work

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• Robust Statistics
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• Robust inference with GMM estimators

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