Agostinelli, Claudio; Bisaglia, Luisa - In: Journal of Applied Statistics 37 (2010) 9, pp. 1569-1584
In this paper, we consider the problem of robust estimation of the fractional parameter, d, in long memory autoregressive fractionally integrated moving average processes, when two types of outliers, i.e. additive and innovation, are taken into account without knowing their number, position or...