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April 2009 Robust estimation for ARMA models
Nora Muler, Daniel Peña, Víctor J. Yohai
Ann. Statist. 37(2): 816-840 (April 2009). DOI: 10.1214/07-AOS570


This paper introduces a new class of robust estimates for ARMA models. They are M-estimates, but the residuals are computed so the effect of one outlier is limited to the period where it occurs. These estimates are closely related to those based on a robust filter, but they have two important advantages: they are consistent and the asymptotic theory is tractable. We perform a Monte Carlo where we show that these estimates compare favorably with respect to standard M-estimates and to estimates based on a diagnostic procedure.


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Nora Muler. Daniel Peña. Víctor J. Yohai. "Robust estimation for ARMA models." Ann. Statist. 37 (2) 816 - 840, April 2009.


Published: April 2009
First available in Project Euclid: 10 March 2009

zbMATH: 1162.62405
MathSciNet: MR2502652
Digital Object Identifier: 10.1214/07-AOS570

Primary: 62F35 , 62M10

Keywords: MM-estimates , Outliers , time series

Rights: Copyright © 2009 Institute of Mathematical Statistics


Vol.37 • No. 2 • April 2009
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