Robust estimation of stationary continuous‐time arma models via indirect inference
نویسندگان
چکیده
منابع مشابه
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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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چکیده ندارد.
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Autoregressive moving average (ARMA) models are a fundamental tool in time series analysis that offer intuitive modeling capability and efficient predictors. Unfortunately, the lack of globally optimal parameter estimation strategies for these models remains a problem: application studies often adopt the simpler autoregressive model that can be easily estimated by maximizing (a posteriori) like...
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ژورنال
عنوان ژورنال: Journal of Time Series Analysis
سال: 2020
ISSN: 0143-9782,1467-9892
DOI: 10.1111/jtsa.12526