Agostinelli, Claudio (2001) Robust time series estimation via weighted likelihood. Some preliminary results. [Working Paper] WORKING PAPER SERIES, 3/2001 . , PADOVA (Inedito)
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In this paper we discuss a preliminary results on the construction of a weighted likelihood procedure for robust estimation of the unknown parameters of an autoregressive-moving average model. Two types of outliers, i.e., additive and innovations be take into account without knowing their number, position or intensity. A classification procedure based on a selection criterion is used to identified the most useful pattern rappresentation of the outliers to gain efficiency and robustness. Two examples are reported.
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