An algorithm for robust fitting of autoregressive models

Dimitris N. Politis

Economics Letters, 2009, vol. 102, issue 2, 128-131

Abstract: An algorithm for robust fitting of AR models is given, based on a linear regression idea. The new method appears to outperform the Yule-Walker estimator in a setting of data contaminated with outliers.

Keywords: ARMA; models; Linear; time; series; Outliers (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:102:y:2009:i:2:p:128-131

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