Abstract:
Two new classes of robust estimates for ARMA models are introduced: estimates based on residual autocovariances (RA estimates), and estimates based on truncated residual autocovariances (TRA estimates). A heuristic derivation of the asymptotic normal distribution is given. We also perform a Monte Carlo study to compare the robustness properties of these estimates with the least squares, M, and GM estimates. In this study we consider observations that correspond to a Gaussian model with additive outliers. The Monte Carlo results show that RA and TRA estimates compare favorably with respect to least squares, M, and GM estimates. © 1986 Taylor & Francis Group, LLC.
Registro:
Documento: |
Artículo
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Título: | Robust estimates for ARMA models |
Autor: | Bustos, O.H.; Yohai, V.J. |
Filiación: | Institute de Matemática Pura e Aplicada (IMPA), Rua Dona Castorina, 110, 22460, Jardim Botǎnico, Rio de Janeiro, Brazil Departamento de Matemáticas, de Ciencias Exactas y Naturales, Ciudad Universitaria, Pabellón 1, Buenos Aires, 1428, Argentina Centro de Estudios de Macroeconomia de Argentina, Virrey del Pino, Buenos Aires, 3210, Argentina
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Palabras clave: | Monte carlo; Robust estimation |
Año: | 1986
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Volumen: | 81
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Número: | 393
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Página de inicio: | 155
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Página de fin: | 168
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DOI: |
http://dx.doi.org/10.1080/01621459.1986.10478253 |
Título revista: | Journal of the American Statistical Association
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Título revista abreviado: | J. Am. Stat. Assoc.
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ISSN: | 01621459
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Registro: | https://bibliotecadigital.exactas.uba.ar/collection/paper/document/paper_01621459_v81_n393_p155_Bustos |
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Citas:
---------- APA ----------
Bustos, O.H. & Yohai, V.J.
(1986)
. Robust estimates for ARMA models. Journal of the American Statistical Association, 81(393), 155-168.
http://dx.doi.org/10.1080/01621459.1986.10478253---------- CHICAGO ----------
Bustos, O.H., Yohai, V.J.
"Robust estimates for ARMA models"
. Journal of the American Statistical Association 81, no. 393
(1986) : 155-168.
http://dx.doi.org/10.1080/01621459.1986.10478253---------- MLA ----------
Bustos, O.H., Yohai, V.J.
"Robust estimates for ARMA models"
. Journal of the American Statistical Association, vol. 81, no. 393, 1986, pp. 155-168.
http://dx.doi.org/10.1080/01621459.1986.10478253---------- VANCOUVER ----------
Bustos, O.H., Yohai, V.J. Robust estimates for ARMA models. J. Am. Stat. Assoc. 1986;81(393):155-168.
http://dx.doi.org/10.1080/01621459.1986.10478253