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Bustos, O.H.; Yohai, V.J. "Robust estimates for ARMA models" (1986) Journal of the American Statistical Association. 81(393):155-168
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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
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
Palabras clave:Monte carlo; Robust estimation
Año:1986
Volumen:81
Número:393
Página de inicio:155
Página de fin:168
DOI: http://dx.doi.org/10.1080/01621459.1986.10478253
Título revista:Journal of the American Statistical Association
Título revista abreviado:J. Am. Stat. Assoc.
ISSN:01621459
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