Martin, R. Douglas 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. Cited in 9 Documents MSC: 62F35 Robustness and adaptive procedures (parametric inference) 62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH) Keywords:robust estimation of autoregressive models; bounded-influence estimates; generalized M-estimates; asymptotic covariance expression; influence curve; examples of applications; robust order-selection rule Citations:Zbl 0527.00027 PDFBibTeX XML