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Abstract:

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. © Institute of Mathematical Statistics, 2009.

Registro:

Documento: Artículo
Título:Robust estimation for ARMA models
Autor:Muler, N.; Peña, D.; Yohai, V.J.
Filiación:Universidad Torcuato di Tella, Argentina
Universidad Carlos III de Madrid, Spain
Universidad de Buenos Aires, CONICET, Argentina
Departamento de Mathematicas y Estadística, Universidad Torcuata di Tella, Minones 2159, 1428 Buenos Aires, Argentina
Departamento de EstadíStica, Universidad Carlos III de Madrid, Madrid 126, 28903 Getafe Madrid, Spain
Ciudad Universitaria, Pabellón 1, Buenos Aires 1428, Argentina
Palabras clave:MM-estimates; Outliers; Time series
Año:2009
Volumen:37
Número:2
Página de inicio:816
Página de fin:840
DOI: http://dx.doi.org/10.1214/07-AOS570
Título revista:Annals of Statistics
Título revista abreviado:Ann. Stat.
ISSN:00905364
Registro:https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_00905364_v37_n2_p816_Muler

Referencias:

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Citas:

---------- APA ----------
Muler, N., Peña, D. & Yohai, V.J. (2009) . Robust estimation for ARMA models. Annals of Statistics, 37(2), 816-840.
http://dx.doi.org/10.1214/07-AOS570
---------- CHICAGO ----------
Muler, N., Peña, D., Yohai, V.J. "Robust estimation for ARMA models" . Annals of Statistics 37, no. 2 (2009) : 816-840.
http://dx.doi.org/10.1214/07-AOS570
---------- MLA ----------
Muler, N., Peña, D., Yohai, V.J. "Robust estimation for ARMA models" . Annals of Statistics, vol. 37, no. 2, 2009, pp. 816-840.
http://dx.doi.org/10.1214/07-AOS570
---------- VANCOUVER ----------
Muler, N., Peña, D., Yohai, V.J. Robust estimation for ARMA models. Ann. Stat. 2009;37(2):816-840.
http://dx.doi.org/10.1214/07-AOS570