estimation of time series models via robust wavelet variance

Clicks: 282
ID: 191596
2014
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Abstract

A robust approach to the estimation of time series models is proposed. Taking from
a new estimation method called the Generalized Method of Wavelet Moments (GMWM)
which is an indirect method based on the Wavelet Variance (WV), we replace the classical
estimator of the WV with a recently proposed robust M-estimator to obtain a robust
version of the GMWM. The simulation results show that the proposed approach can be
considered as a valid robust approach to the estimation of time series and state-space
models.

Reference Key
guerrier2014austrianestimation Use this key to autocite in the manuscript while using SciMatic Manuscript Manager or Thesis Manager
Authors ;Stephane Guerrier;Roberto Molinari;Maria-Pia Victoria-Feser
Journal international journal of genomics
Year 2014
DOI
10.17713/ajs.v43i4.45
URL
http://www.ajs.or.at/index.php/ajs/article/view/45
Keywords
probabilities mathematical statisticsstatistics

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