Outlier detection algorithms for least squares time series regression
Year of publication: |
2014-09-08
|
---|---|
Authors: | Johansen, Søren ; Nielsen, Bent |
Institutions: | Economics Group, Nuffield College, University of Oxford |
Subject: | Huber-skip M-estimators | 1-step Huber-skip M-estimators | iteration | Forward Search | Impulse Indicator Saturation | Robusti?ed Least Squares | weighted and marked em- pirical processes | iterated martingale inequality | gauge |
-
Outlier detection algorithms for least squares time series regression
Johansen, Søren, (2014)
-
Optimal hedging with the cointegrated vector autoregressive model
Johansen, Søren, (2014)
-
Plastria, Frank, (2016)
- More ...
-
Asymptotic analysis of the Forward Search
Nielsen, Bent, (2013)
-
An analysis of the indicator saturation estimator as a robust regression estimator
Johansen, Søren, (2008)
-
Johansen, Søren, (2010)
- More ...