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Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers

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  • Meintanis, S. G.
  • Donatos, G. S.

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  • Meintanis, S. G. & Donatos, G. S., 1999. "Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers," Computational Statistics & Data Analysis, Elsevier, vol. 31(3), pages 323-339, September.
    • Handle: RePEc:eee:csdana:v:31:y:1999:i:3:p:323-339
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    References listed on IDEAS

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    1. Rudolf Beran, 1976. "Adaptive estimates for autoregressive processes," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 28(1), pages 77-89, December.
    2. Meintanis, S. G. & Donatos, G. S., 1997. "A comparative study of some robust methods for coefficient-estimation in linear regression," Computational Statistics & Data Analysis, Elsevier, vol. 23(4), pages 525-540, February.
    3. Davis, Richard A. & Knight, Keith & Liu, Jian, 1992. "M-estimation for autoregressions with infinite variance," Stochastic Processes and their Applications, Elsevier, vol. 40(1), pages 145-180, February.
    4. Sejling, Ken & Madsen, Henrik & Holst, Jan & Holst, Ulla & Englund, Jan-Eric, 1994. "Methods for recursive robust estimation of AR parameters," Computational Statistics & Data Analysis, Elsevier, vol. 17(5), pages 509-536, June.
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    Cited by:

    1. Fried, Roland & Gather, Ursula, 2004. "Robust Trend Estimation for AR(1) Disturbances," Technical Reports 2004,64, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    2. Hella, Heikki, 2003. "On robust ESACF identification of mixed ARIMA models," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2003_027.

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