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Two new approaches to robust estimation in time series |
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| Abstract: | Two new approaches to robust time series modelling are proposed. These approaches are natural generalisations of the Yule—Walker and the least squares methods. The approaches generate further a few viable estimators. Simulation experiments are conducted to investigate the relative efficiency and the breakdown bounds of these estimators. |
| Keywords: | Additive outliers innovation outliers autoregressive model breakdown bound robust autocorrelation robust covariance matrix |