Outlier detection algorithms for least squares time series regression
Year of publication: |
2014-09-08
|
---|---|
Authors: | Johansen, Søren ; Nielsen, Bent |
Institutions: | School of Economics and Management, University of Aarhus |
Subject: | Huber-skip M-estimators | 1-step Huber-skip M-estimators | iteration | Forward Search | Impulse Indicator Saturation | Robusti?ed Least Squares | weighted and marked empirical processes | iterated martingale inequality | gauge |
-
Optimal hedging with the cointegrated vector autoregressive model
Johansen, Søren, (2014)
-
Outlier detection algorithms for least squares time series regression
Johansen, Søren, (2014)
-
A Generalized ARFIMA Process with Markov-Switching Fractional DifferencingParameter
Tsay, Wen-Jen, (2007)
- More ...
-
Asymptotic analysis of the Forward Search
Johansen, Søren, (2013)
-
An analysis of the indicator saturation estimator as a robust regression estimator
Johansen, Søren, (2008)
-
Asymptotic theory for iterated one-step Huber-skip estimators
Johansen, Søren, (2011)
- More ...