We propose elliptical graphical models based on conditional uncorrelatedness as a robust generalization of Gaussian graphical models. Letting the population distribution be elliptical instead of normal allows the fitting of data with arbitrarily heavy tails. We study the class of proportionally...

This paper proposes a robust forecasting method for non-stationary time series. The time series is modelled using non-parametric heteroscedastic regression, and fitted by a localized MM-estimator, combining high robustness and large efficiency. The proposed method is shown to produce reliable...