Robust Estimates for ARMA Models
نویسندگان
چکیده
منابع مشابه
Robust Estimation for Arma Models
This paper introduces a new class of robust estimates for ARMA models. They are M-estimates, but the residuals are computed so the effect of one outlier is limited to the period where it occurs. These estimates are closely related to those based on a robust filter, but they have two important advantages: they are consistent and the asymptotic theory is tractable. We perform a Monte Carlo where ...
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Proper location M-estimates for a model with non-Gaussian autoregressive-moving average type errors are genuine maximum likelihood type estimates. whereas ordinary location M-estimates are those introduced by P. Huber for independent and identically distributed errors. The relative behavior of ordinary location Mestimates and proper location M-estimates is studied for situations with dependent ...
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ژورنال
عنوان ژورنال: Journal of the American Statistical Association
سال: 1986
ISSN: 0162-1459,1537-274X
DOI: 10.1080/01621459.1986.10478253