Efficient robust estimation of time-series regression models.

DOI10.1007/S10492-008-0009-XzbMath1189.62140OpenAlexW3123288227MaRDI QIDQ834023

Pavel Čížek

Publication date: 17 August 2009

Published in: Applications of Mathematics (Search for Journal in Brave)

Full work available at URL: https://eudml.org/doc/37783

zbMATH Keywords

time seriesasymptotic efficiencyrobust regressionleast weighted squares

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Sequential estimation (62L12)

Related Items (3)

Robust Two-Step Wavelet-Based Inference for Time Series Models ⋮ Modified quantum-behaved particle swarm optimization for parameters estimation of generalized nonlinear multi-regressions model based on Choquet integral with outliers ⋮ Unnamed Item

Cites Work

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• A class of robust and fully efficient regression estimators
• Least trimmed squares in nonlinear regression under dependence
• High Breakdown Point Conditional Dispersion Estimation with Application to S & P 500 Daily Returns Volatility
• Comprehensive Definitions of Breakdown Points for Independent and Dependent Observations

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