Robust estimation of the vector autoregressive model by a least trimmed squares procedure

被引：22

作者：

Croux, Christophe ^{[1
]}

Joossens, Kristel ^{[1
]}

机构：

[1] Katholieke Univ Leuven, Fac Business & Econ, B-3000 Louvain, Belgium

来源：

COMPSTAT 2008: PROCEEDINGS IN COMPUTATIONAL STATISTICS | 2008年

关键词：

robustness; multivariate time series; outliers; trimming; vector autoregressive models;

D O I：

10.1007/978-3-7908-2084-3_40

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The vector autoregressive model is very popular for modeling multiple time series. Estimation of its parameters is typically done by a least squares procedure. However, this estimation method is unreliable when outliers are present in the data, and therefore we propose to estimate the vector autoregressive model by using a multivariate least trimmed squares estimator. We also show how the order of the autoregressive model can be determined in a robust way. The robust procedure is illustrated on a real data set.

引用

页码：489 / 501

页数：13

共 50 条

[41] Least trimmed squares ridge estimation in partially linear regression models
Amini, Morteza
Roozbeh, Mahdi
[J]. JOURNAL OF STATISTICAL COMPUTATION AND SIMULATION, 2016, 86 (14) : 2766 - 2780
[42] Algorithm for Vector Autoregressive Model Parameter Estimation Using an Orthogonalization Procedure
Epifanio Bagarinao
Shunsuke Sato
[J]. Annals of Biomedical Engineering, 2002, 30 : 260 - 271
[43] Least trimmed squares estimator in the errors-in-variables model
Jung, Kang-Mo
[J]. JOURNAL OF APPLIED STATISTICS, 2007, 34 (03) : 331 - 338
[44] THE INFLUENCE FUNCTIONS FOR THE LEAST TRIMMED SQUARES AND THE LEAST TRIMMED ABSOLUTE DEVIATIONS ESTIMATORS
TABLEMAN, M
[J]. STATISTICS & PROBABILITY LETTERS, 1994, 19 (04) : 329 - 337
[45] Least Squares Estimation of Generalized Space Time AutoRegressive (GSTAR) Model and Its Properties
Ruchjana, Budi Nurani
Borovkova, Svetlana A.
Lopuhaa, H. P.
[J]. 5TH INTERNATIONAL CONFERENCE ON RESEARCH AND EDUCATION IN MATHEMATICS (ICREM5), 2012, 1450 : 61 - 64
[46] A model where the least trimmed squares estimator is maximum likelihood
Berenguer-Rico, Vanessa
Johansen, Soren
Nielsen, Bent
[J]. JOURNAL OF THE ROYAL STATISTICAL SOCIETY SERIES B-STATISTICAL METHODOLOGY, 2023, 85 (03) : 886 - 912
[47] Plane fitting of point clouds with robust least trimmed squares initial value
College of Surveying and Geo-Informatics, Tongji University, Shanghai
200092, China
[J]. Tongji Daxue Xuebao, 9 (1419-1424):
[48] Robust Kalman smoother for EIV state space model based on multivariate least trimmed squares estimator
AlMutawa, Jaafar
[J]. IMA JOURNAL OF MATHEMATICAL CONTROL AND INFORMATION, 2012, 29 (01) : 23 - 32
[49] On least trimmed squares neural networks
Lin, Yih-Lon
Hsieh, Jer-Guang
Jeng, Jyh-Horng
Cheng, Wen-Chin
[J]. NEUROCOMPUTING, 2015, 161 : 107 - 112
[50] Approximate least squares estimation for spatial autoregressive models with covariates
Ma, Yingying
Lan, Wei
Zhou, Fanying
Wang, Hansheng
[J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2020, 143 (143)

← 1 2 3 4 5 →