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Robust Estimation For Periodic Autoregressive Time Series

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  • Q. Shao

Abstract

. A robust estimation procedure for periodic autoregressive (PAR) time series is introduced. The asymptotic properties and the asymptotic relative efficiency are discussed by the estimating equation approach. The performance of the robust estimators for PAR time‐series models with order one is illustrated by a simulation study. The technique is applied to a real data analysis.

Suggested Citation

  • Q. Shao, 2008. "Robust Estimation For Periodic Autoregressive Time Series," Journal of Time Series Analysis, Wiley Blackwell, vol. 29(2), pages 251-263, March.
    • Handle: RePEc:bla:jtsera:v:29:y:2008:i:2:p:251-263
    DOI: 10.1111/j.1467-9892.2007.00555.x
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    1. Franses, Philip Hans & Paap, Richard, 2004. "Periodic Time Series Models," OUP Catalogue, Oxford University Press, number 9780199242030.
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    Cited by:

    1. Sarnaglia, A.J.Q. & Reisen, V.A. & Lévy-Leduc, C., 2010. "Robust estimation of periodic autoregressive processes in the presence of additive outliers," Journal of Multivariate Analysis, Elsevier, vol. 101(9), pages 2168-2183, October.
    2. Francesco Battaglia & Domenico Cucina & Manuel Rizzo, 2020. "Detection and estimation of additive outliers in seasonal time series," Computational Statistics, Springer, vol. 35(3), pages 1393-1409, September.

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