On Robust Diagnostics at Individual Lags Using RA-ARX Estimators
Author:
Publisher
Springer-Verlag
Link
http://link.springer.com/content/pdf/10.1007/0-387-24555-3_7.pdf
Reference9 articles.
1. Bustos, O.H. and Yohai, V.J. (1986). Robust estimates for ARMA processes. Journal of the American Statistical Association, 81:155–168.
2. Denby, L. and Martin, R.D. (1979). Robust estimation of the first-order autoregressive parameter. Journal of the American Statistical Association, 74:140–146.
3. Duchesne, P. (2004a). Robust and powerful serial correlation tests with new robust estimates in ARX models. Forthcoming in Journal of Time Series Analysis.
4. Duchesne, P. (2004b). On the asymptotic distribution of residual autocovariances in VARX models with applications. Forthcoming in Test.
5. Durrett, R. (1995). Probability, Theory and Examples. Second Ed, Duxbury Press, Belmont, CA.
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