Skip Navigation

Biometrika 1987 74(4):791-797; doi:10.1093/biomet/74.4.791
© 1987 by Biometrika Trust
This Article
Right arrow Full Text (PDF)
Right arrow Alert me when this article is cited
Right arrow Alert me if a correction is posted
Services
Right arrow Email this article to a friend
Right arrow Similar articles in this journal
Right arrow Alert me to new issues of the journal
Right arrow Add to My Personal Archive
Right arrow Download to citation manager
Right arrowRequest Permissions
Google Scholar
Right arrow Articles by MASAROTTO, G.
Right arrow Search for Related Content
Social Bookmarking
Add to CiteULike   Add to Connotea   Add to Del.icio.us  
What's this?

Robust and consistent estimates of autoregressive-moving average parameters

GUIDO MASAROTTO

Dipartimento di Scienze Statistiche, Università di Padova 35121 Padova, Italy

We aim at estimates of autoregressive-moving average parameters which are simultaneously consistent at the nominal Gaussian model and insensitive to outliers in the data. The estimates may be viewed as a robust version of maximum likelihood estimates of order r and, for purely autoregressive models, reduce to a special case of generalized M-estimates.

Key Words: Autoregressive-moving average model • Generalized M-estimate • Maximum likelihood estimation of order r • Robust estimation


Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us    What's this?




Disclaimer:
Please note that abstracts for content published before 1996 were created through digital scanning and may therefore not exactly replicate the text of the original print issues. All efforts have been made to ensure accuracy, but the Publisher will not be held responsible for any remaining inaccuracies. If you require any further clarification, please contact our Customer Services Department.