Deepest Regression in Robust Estimation of AR and VAR Models

Daniel Kosiorowski
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Daniel Kosiorowski: Cracow University of Economics, Poland

Chapter 9 in FindEcon Monograph Series: Advances in Financial Market Analysis, 2010, vol. 8, pp 129-137 from University of Lodz

Abstract: Chapter 9 of Kosiorowski is devoted to issues of deepest regression in robust estimation of AR models. This is a theoretical research based on simulation studies which has shown that the regression depth concept offers robust parameter estimates when the data contains outliers.

Keywords: Robust estimation; AR and VAR models; Outliers (search for similar items in EconPapers)
JEL-codes: C01 E02 F00 G00 (search for similar items in EconPapers)
Date: 2010
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