Robust estimation of conditional variance of time series using density power divergences
Year of publication: |
September 2017
|
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Authors: | Park, Jin‐Hong ; Sriram, T. N. |
Published in: |
Journal of forecasting. - Chichester : Wiley, ISSN 0277-6693, ZDB-ID 783432-9. - Vol. 36.2017, 6, p. 703-717
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Subject: | conditional variance | dimension reduction | density power divergence | tuning parameter | estimating functions | robustness | optimal estimator | Schätztheorie | Estimation theory | Robustes Verfahren | Robust statistics | Zeitreihenanalyse | Time series analysis | Varianzanalyse | Analysis of variance | Nichtparametrisches Verfahren | Nonparametric statistics | Schätzung | Estimation | Statistische Verteilung | Statistical distribution |
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