Search Results - subject:"Huber-skip M-estimators"

Outlier detection algorithms for least squares time series regression

Johansen, Søren; Nielsen, Bent - Economics Group, Nuffield College, University of Oxford - 2014

M-estimators, in particular the Impulse Indicator Saturation, iterated 1-step Huber-skip M-estimators and the Forward … and non-stationary time series as well as polynomial terms. The methods include the Huber-skip M-estimator, 1-step Huber-skip …

Persistent link: https://www.econbiz.de/10010892342

Optimal hedging with the cointegrated vector autoregressive model

Johansen, Søren; Nielsen, Bent - Økonomisk Institut, Københavns Universitet - 2014

Persistent link: https://www.econbiz.de/10010937950

Outlier detection algorithms for least squares time series regression

Johansen, Søren; Nielsen, Bent - School of Economics and Management, University of Aarhus - 2014

Persistent link: https://www.econbiz.de/10010940884