Robust estimation for ARMA models
Muler, Nora ; Peña, Daniel ; Yohai, Víctor J.
Ann. Statist., Tome 37 (2009) no. 1, p. 816-840 / Harvested from Project Euclid
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This paper introduces a new class of robust estimates for ARMA models. They are M-estimates, but the residuals are computed so the effect of one outlier is limited to the period where it occurs. These estimates are closely related to those based on a robust filter, but they have two important advantages: they are consistent and the asymptotic theory is tractable. We perform a Monte Carlo where we show that these estimates compare favorably with respect to standard M-estimates and to estimates based on a diagnostic procedure.
Publié le : 2009-04-15
Classification:  MM-estimates,  outliers,  time series,  62F35,  62M10 
@article{1236693151,
     author = {Muler, Nora and Pe\~na, Daniel and Yohai, V\'\i ctor J.},
     title = {Robust estimation for ARMA models},
     journal = {Ann. Statist.},
     volume = {37},
     number = {1},
     year = {2009},
     pages = { 816-840},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1236693151}
}

Muler, Nora; Peña, Daniel; Yohai, Víctor J. Robust estimation for ARMA models. Ann. Statist., Tome 37 (2009) no. 1, pp.  816-840. http://gdmltest.u-ga.fr/item/1236693151/