Robust estimation for ARMA models
| dc.creator | Muler, Nora | |
| dc.creator | Peña, Daniel | |
| dc.creator | Yohai, Víctor J. | |
| dc.date | 2009-04-01 | |
| dc.date.accessioned | 2026-07-07T12:59:01Z | |
| dc.date.available | 2026-07-07T12:59:01Z | |
| dc.description | This paper introduces a new class of robust estimates for ARMA models. They are M-estimates, but the residuals are computed so the effect of one outlier is limited to the period where it occurs. These estimates are closely related to those based on a robust filter, but they have two important advantages: they are consistent and the asymptotic theory is tractable. We perform a Monte Carlo where we show that these estimates compare favorably with respect to standard M-estimates and to estimates based on a diagnostic procedure. | |
| dc.description | Published in at http://dx.doi.org/10.1214/07-AOS570 the Annals of Statistics (http://www.imstat.org/aos/) by the Institute of Mathematical Statistics (http://www.imstat.org) | |
| dc.identifier | https://arxiv.org/abs/0904.0106 | |
| dc.identifier | http://arxiv.org/abs/0904.0106 | |
| dc.identifier | Annals of Statistics 2009, Vol. 37, No. 2, 816-840 | |
| dc.identifier | doi:10.1214/07-AOS570 | |
| dc.identifier.uri | http://salesiana.dossiersoluciones.com/handle/123456789/225443 | |
| dc.subject | Statistics Theory | |
| dc.subject | 62F35, 62M10 (Primary) | |
| dc.title | Robust estimation for ARMA models | |
| dc.type | text |