Robustness of forecasting of autoregressive time series for additive distortions

DOI10.1007/s10958-005-0164-5zbMath1115.62102OpenAlexW1989293370MaRDI QIDQ997721

D. V. Zenevich, Yuriy S. Kharin

Publication date: 7 August 2007

Published in: Journal of Mathematical Sciences (New York) (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10958-005-0164-5

Mathematics Subject Classification ID

Inference from stochastic processes and prediction (62M20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

• Parameter estimation for ARMA processes with errors in models
• Robust Statistics
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