| Title:
|
Recursive estimation in autoregressive models with additive outliers (English) |
| Author:
|
Cipra, Tomáš |
| Author:
|
Rubio, Asunción |
| Author:
|
Canal, José Luis |
| Language:
|
English |
| Journal:
|
Kybernetika |
| ISSN:
|
0023-5954 |
| Volume:
|
29 |
| Issue:
|
1 |
| Year:
|
1993 |
| Pages:
|
62-72 |
| . |
| Category:
|
math |
| . |
| MSC:
|
62F10 |
| MSC:
|
62F35 |
| MSC:
|
62M10 |
| idZBL:
|
Zbl 0789.62066 |
| idMR:
|
MR1227742 |
| . |
| Date available:
|
2009-09-24T18:38:27Z |
| Last updated:
|
2012-06-06 |
| Stable URL:
|
http://hdl.handle.net/10338.dmlcz/124551 |
| . |
| Reference:
|
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| Reference:
|
[2] K. Campbel: Recursive computation of M-estimates for the parameters of a finite autoregressive process.Ann. Statist. 10 (1982), 442-453. MR 0653519 |
| Reference:
|
[3] T. Cipra: Note on approximate non-Gaussian filtering with nonlinear observation relation.Comment. Math. Univ. Carolinae 31 (1990), 601-605. Zbl 0713.60053, MR 1078492 |
| Reference:
|
[4] T. Cipra, J. Uanousek: Robust Filtering and Estimation in Autoregressive Models.(in Czech). Research Report, Institute of Hygiene and Epidemiology, Prague 1989. |
| Reference:
|
[5] T. Cipra, R. Romera: Robust Kalman filter and its application in tune series analysis.Kybernetika 27 (1991), 481-494, MR 1150938 |
| Reference:
|
[6] T. Cipra, R. Romera: Recursive time series methods in L1-norm.In: L1-Statistical Analysis and Related Methods (Y. Dodge, ed.), North Holland, Amsterdam 1992, pp. 233-243. MR 1214835 |
| Reference:
|
[7] T. Cipra, A. Rubio: Kalman filter with a non-linear non-Gaussian observation relation.Trabajos de Estadi'stica 6(1991), 111-119. Zbl 0748.62052 |
| Reference:
|
[8] L. Denby, R. D. Martin: Robust estimation of the first-order autoregressive parameter.J. Amer. Statist. Assoc. 74 (1979), 140-146. Zbl 0407.62066 |
| Reference:
|
[9] L. Fahrmeier: Rekursive Algorithmen fur Zeitreihenmodelle.Vandenhoeck und Ruprecht, Gottingen 1981. MR 0615738 |
| Reference:
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[10] S. Hillmer: Monitoring and adjusting forecasts in the presence of additive outliers.J. Forecasting 3 (1984), 205-215. |
| Reference:
|
[11] P. J. Huber: Robust Statistics.J. Wiley, New York 1981. Zbl 0536.62025, MR 0606374 |
| Reference:
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[12] A. Jazwinski: Stochastic Processes and Filtering Theory.Academic Press, New York 1970. Zbl 0203.50101 |
| Reference:
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[13] B. Kleiner R. D. Martin, D. J. Thomson: Robust estimation of power spectra.J. Roy. Statist. Soc. Ser. B 41 (1979), 313-351. MR 0557596 |
| Reference:
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[14] J. Ledolter: The effect of additive outliers on the forecasts from ARIMA models.Internat. J. Forecasting 5 (1989), 1-10. |
| Reference:
|
[15] L. Ljung, T. Soderstrom: Theory and Practice of Recursive Identification.MIT Press, Cambridge, Massachusetts 1983. MR 0719192 |
| Reference:
|
[16] R. D. Martin: Robust estimation for time series autoregressions.In: Robustness in Statistics (R. L. Launer and G.N. Wilkinson, eds.), Academic Press, New York 1979, pp. 147-176. |
| Reference:
|
[17] R. D. Martin: Approximate conditional-mean type smoothers and interpolators.In: Smoothing Techniques for Curve Estimation (T. Gasser and M. Rosenblatt, eds.), Springer, New York 1979, pp. 117-143. Zbl 0423.62073, MR 0564255 |
| Reference:
|
[18] R. D. Martin: Robust estimation of autoregressive models.In: Directions in Time Series (D. R. Brillinger and G. C. Tiao, eds.), Inst. Math. Statist. Publications, Hayward, CA 1980, pp. 228-254. Zbl 0531.62038, MR 0624655 |
| Reference:
|
[19] R. D. Martin: Robust methods for time series.In: Applied Time Series II (D. F. Findley, ed.), Academic Press, New York 1981, pp. 683-759. Zbl 0482.62079, MR 0651950 |
| Reference:
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[20] R. D. Martin, D. J. Thomson: Robust-resistant spectrum estimation.Proc. IEEE 70 (1982), 1097-1114. |
| Reference:
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[21] D. C. Montgomery, L. A. Johnson: Forecasting and Time Series Analysis.McGraw-Hill, New York 1976. Zbl 0411.62067 |
| Reference:
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[22] K. Sejling H. Madsen J. Hoist U. Hoist, J.-E. England: A method for recursive robust estimation of AR-parameters.Preprint, Technical University Lyngby, Denmark and University of Lund, Sweden 1990. |
| Reference:
|
[23] N. Stockinger, R. Dutter: Robust Time Series and Analysis: A Survey.Supplement to Kybernetika 23 (1987). MR 0921397 |
| . |
