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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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Abstract (english)

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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EPrint type:Working Paper
Anno di Pubblicazione:21 February 2001
Key Words:Additive outliers, Autoregressive-moving average model, Innovations outlier, Outliers classification procedure, Robust estimation, Weighted likelihood.
Settori scientifico-disciplinari MIUR:Area 13 - Scienze economiche e statistiche > SECS-S/01 Statistica
Struttura di riferimento:Dipartimenti > Dipartimento di Scienze Statistiche
Codice ID:7353
Depositato il:09 Dec 2014 15:46
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