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Robust estimation of autoregressive models. (English) Zbl 0531.62038

Directions in time series, Proc. IMS spec. Meet., Ames/Iowa 1978, 228-262 (1980).
Summary: [For the entire collection see Zbl 0527.00027.]
This paper presents a class of bounded-influence estimates for pth-order autoregressions. These estimates are referred to as generalized M- estimates (GM-estimates). The discussion of GM-estimates gives: (i) a method of computation, (ii) the asymptotic covariance expression, (iii) the influence curve, (iv) robustness properties and (v) two examples of applications. In addition a robust order-selection rule is proposed, and its use is illustrated by an example which makes the need for some such rule quite apparent.

MSC:

62F35 Robustness and adaptive procedures (parametric inference)
62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)

Citations:

Zbl 0527.00027