Methods for recursive robust estimation of AR parameters

Ken Sejling; Henrik Madsen; Jan Holst; Ulla Holst; Jan-Eric Englund

doi:10.1016/0167-9473(94)90146-5

Methods for recursive robust estimation of AR parameters

Ken Sejling, Henrik Madsen, Jan Holst, Ulla Holst, Jan-Eric Englund

Mathematical Statistics

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	509-536
Journal	Computational Statistics & Data Analysis
Volume	17
Issue number	5
DOIs	https://doi.org/10.1016/0167-9473(94)90146-5
Publication status	Published - 1994

Subject classification (UKÄ)

Probability Theory and Statistics

Keywords

additive and innovation outliers
Recursive estimation
robust estimation
time series analysis
bounded-influence estimation

Access to Document

10.1016/0167-9473(94)90146-5

http://www.sciencedirect.com/science?_ob=MImg&_imagekey=B6V8V-45GVWS5-2H-1&_cdi=5880&_user=745831&_orig=search&_coverDate=06%2F30%2F1994&_sk=999829994&view=c&wchp=dGLbVtz-zSkzV&md5=ae20f0c5342062b061c702dc0d40ba1d&ie=/sdarticle.pdf

Cite this

@article{bba959b32700434a9ec053b0c7138654,

title = "Methods for recursive robust estimation of AR parameters",

keywords = "additive and innovation outliers, Recursive estimation, robust estimation, time series analysis, bounded-influence estimation",

author = "Ken Sejling and Henrik Madsen and Jan Holst and Ulla Holst and Jan-Eric Englund",

year = "1994",

doi = "10.1016/0167-9473(94)90146-5",

language = "English",

volume = "17",

pages = "509--536",

journal = "Computational Statistics and Data Analysis",

issn = "0167-9473",

publisher = "Elsevier",

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T1 - Methods for recursive robust estimation of AR parameters

AU - Sejling, Ken

AU - Madsen, Henrik

AU - Holst, Jan

AU - Holst, Ulla

AU - Englund, Jan-Eric

PY - 1994

Y1 - 1994

KW - additive and innovation outliers

KW - Recursive estimation

KW - robust estimation

KW - time series analysis

KW - bounded-influence estimation

U2 - 10.1016/0167-9473(94)90146-5

DO - 10.1016/0167-9473(94)90146-5

M3 - Article

SN - 0167-9473

VL - 17

SP - 509

EP - 536

JO - Computational Statistics and Data Analysis

JF - Computational Statistics and Data Analysis

IS - 5

ER -