An algorithm for robust fitting of autoregressive models

An algorithm for robust fitting of AR models is given, based on a linear regression idea. The new method appears to outperform the Yule-Walker estimator in a setting of data contaminated with outliers.

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Year of publication:	2009
Authors:	Politis, Dimitris N.
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 102.2009, 2, p. 128-131
Publisher:	Elsevier
Keywords:	ARMA models Linear time series Outliers

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005355949