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Selecting sub-set autoregressions from outlier contaminated data

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  • H. Glendinning, Richard

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  • H. Glendinning, Richard, 2001. "Selecting sub-set autoregressions from outlier contaminated data," Computational Statistics & Data Analysis, Elsevier, vol. 36(2), pages 179-207, April.
    • Handle: RePEc:eee:csdana:v:36:y:2001:i:2:p:179-207
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    1. Jack H. W. Penm & R. D. Terrell, 1982. "On The Recursive Fitting Of Subset Autoregressions," Journal of Time Series Analysis, Wiley Blackwell, vol. 3(1), pages 43-59, January.
    2. Chen, Zhao-Guo & Ni, Jun-Yuan, 1989. "Subset regression time series and its modeling procedures," Journal of Multivariate Analysis, Elsevier, vol. 31(2), pages 266-288, November.
    3. G. Masarotto, 1987. "Robust Identification of Autoregressive Moving Average Models," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 36(2), pages 214-220, June.
    4. Jack H. W. Penm & Jammie H. Penm & R. D. Terrell, 1993. "The Recursive Fitting Of Subset Varx Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 14(6), pages 603-619, November.
    5. Ledolter, Johannes, 1989. "The effect of additive outliers on the forecasts from ARIMA models," International Journal of Forecasting, Elsevier, vol. 5(2), pages 231-240.
    6. Hoeting, Jennifer & Raftery, Adrian E. & Madigan, David, 1996. "A method for simultaneous variable selection and outlier identification in linear regression," Computational Statistics & Data Analysis, Elsevier, vol. 22(3), pages 251-270, July.
    7. Winker, Peter, 1995. "Identification of multivariate AR-models by threshold accepting," Computational Statistics & Data Analysis, Elsevier, vol. 20(3), pages 295-307, September.
    8. Hector Allende & Siegfried Heiler, 1992. "Recursive Generalized M Estimates For Autoregressive Moving‐Average Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 13(1), pages 1-18, January.
    9. Douglas M. Hawkins & Jeffrey S. Simonoff, 1993. "High Breakdown Regression and Multivariate Estimation," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 42(2), pages 423-432, June.
    10. Gwo‐Hsing Yu & Yow‐Chang Lin, 1991. "A Methodology For Selecting Subset Autoregressive Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 12(4), pages 363-373, July.
    11. Pena, Daniel, 1990. "Influential Observations in Time Series," Journal of Business & Economic Statistics, American Statistical Association, vol. 8(2), pages 235-241, April.
    12. Xichuan Zhang & R. Deane Terrell, 1997. "Projection Modulus: A New Direction For Selecting Subset Autoregressive Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 18(2), pages 195-212, March.
    13. V. Haggan & O. B. Oyetunji, 1984. "On The Selection Of Subset Autoregressive Time Series Models," Journal of Time Series Analysis, Wiley Blackwell, vol. 5(2), pages 103-113, March.
    14. Hotta, Luiz Koodi, 1993. "The effect of additive outliers on the estimates from aggregated and disaggregated ARIMA models," International Journal of Forecasting, Elsevier, vol. 9(1), pages 85-93, April.
    15. Suzanne Sommer & Richard M. Huggins, 1996. "Variables Selection Using the Wald Test and a Robust CP," Journal of the Royal Statistical Society Series C, Royal Statistical Society, vol. 45(1), pages 15-29, March.
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