Robust estimation of periodic autoregressive processes in the presence of additive outliers

DOI10.1016/j.jmva.2010.05.006zbMath1323.62087OpenAlexW2062820118MaRDI QIDQ990899

Alessandro J. Q. Sarnaglia, Céline Lévy-Leduc, Valdério Anselmo Reisen

Publication date: 1 September 2010

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmva.2010.05.006

zbMATH Keywords

robustnessperiodicityinfluence functionadditive outliersPAR model

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (10)

The effects of additive outliers in INAR(1) process and robust estimation ⋮ M-periodogram for the analysis of long-range-dependent time series ⋮ Empirical study of robust estimation methods for PAR models with application to the air quality area ⋮ An \(M\)-estimator for the long-memory parameter ⋮ Identification and validation of periodic autoregressive model with additive noise: finite-variance case ⋮ Robust Two-Step Wavelet-Based Inference for Time Series Models ⋮ Detection and estimation of additive outliers in seasonal time series ⋮ Robust modelling of periodic vector autoregressive time series ⋮ A periodic and seasonal statistical model for non-negative integer-valued time series with an application to dispensed medications in respiratory diseases ⋮ Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations

Cites Work

• Highly Robust Estimation of the Autocovariance Function
• Robust estimation in long-memory processes under additive outliers
• Estimating the dimension of a model
• Least-squares estimation and ANOVA for periodic autoregressive time series
• Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
• Asymptotic theory of weakly dependent stochastic processes
• Recursive Prediction and Likelihood Evaluation for Periodic ARMA Models
• On modelling and diagnostic checking of vector periodic autoregressive time series models
• Robust Estimation For Periodic Autoregressive Time Series
• Characterization of cyclostationary random signal processes
• Robust Estimation of the First-Order Autoregressive Parameter
• Asymptotic Statistics
• Alternatives to the Median Absolute Deviation
• PERIODIC CORRELATION IN STRATOSPHERIC OZONE DATA
• DIAGNOSTIC CHECKING OF PERIODIC AUTOREGRESSION MODELS WITH APPLICATION
• Joint Estimation of Model Parameters and Outlier Effects in Time Series
• Parsimony, Model Adequacy and Periodic Correlation in Time Series Forecasting
• Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes
• Periodically Correlated Random Sequences
• Parameter Estimation for Periodically Stationary Time Series
• Testing for periodic autocorrelations in seasonal time series data
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item

This page was built for publication: Robust estimation of periodic autoregressive processes in the presence of additive outliers