An algorithm for robust fitting of autoregressive models
An algorithm for robust fitting of AR models is given, based on a linear regression idea. The new method appears to outperform the Yule-Walker estimator in a setting of data contaminated with outliers.
Year of publication: |
2009
|
---|---|
Authors: | Politis, Dimitris N. |
Published in: |
Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 102.2009, 2, p. 128-131
|
Publisher: |
Elsevier |
Keywords: | ARMA models Linear time series Outliers |
Saved in:
Online Resource
Saved in favorites
Similar items by person
-
Patton, Andrew J., (2009)
-
Bertail, Patrice, (2001)
-
A GENERALIZED BLOCK BOOTSTRAP FOR SEASONAL TIME SERIES
Dudek, Anna E., (2014)
- More ...