Robust estimation for ARMA models
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 advant...
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| Autores principales: | Muler, N., Peña, D., Yohai, V.J. |
|---|---|
| Formato: | JOUR |
| Materias: | |
| Acceso en línea: | http://hdl.handle.net/20.500.12110/paper_00905364_v37_n2_p816_Muler |
| Aporte de: |
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