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Highly Robust Estimation of the Autocovariance Function

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  1. Stephen Machin & Olivier Marie & Sunčica Vujić, 2012. "Youth Crime and Education Expansion," German Economic Review, Verein für Socialpolitik, vol. 13(4), pages 366-384, November.
  2. Trucíos, Carlos & Hotta, Luiz K. & Valls Pereira, Pedro L., 2019. "On the robustness of the principal volatility components," Journal of Empirical Finance, Elsevier, vol. 52(C), pages 201-219.
  3. Carlos Cesar Trucios-Maza & João H. G Mazzeu & Luis K. Hotta & Pedro L. Valls Pereira & Marc Hallin, 2019. "On the robustness of the general dynamic factor model with infinite-dimensional space: identification, estimation, and forecasting," Working Papers ECARES 2019-32, ULB -- Universite Libre de Bruxelles.
  4. Carina Gerstenberger, 2021. "Robust discrimination between long‐range dependence and a change in mean," Journal of Time Series Analysis, Wiley Blackwell, vol. 42(1), pages 34-62, January.
  5. Ma, Yanyuan & Genton, Marc G., 2001. "Highly Robust Estimation of Dispersion Matrices," Journal of Multivariate Analysis, Elsevier, vol. 78(1), pages 11-36, July.
  6. Reisen, Valdério Anselmo & Sgrancio, Adriano Marcio & Lévy-Leduc, Céline & Bondon, Pascal & Monte, Edson Zambon & Aranda Cotta, Higor Henrique & Ziegelmann, Flávio Augusto, 2019. "Robust factor modelling for high-dimensional time series: An application to air pollution data," Applied Mathematics and Computation, Elsevier, vol. 346(C), pages 842-852.
  7. Kim, Byungsoo & Lee, Sangyeol, 2013. "Robust estimation for the covariance matrix of multivariate time series based on normal mixtures," Computational Statistics & Data Analysis, Elsevier, vol. 57(1), pages 125-140.
  8. Genton, Mark G. & Ruiz-Gazen, Anne, 2009. "Visualizing Influential Observations in Dependent Data," TSE Working Papers 09-051, Toulouse School of Economics (TSE).
  9. Davies, P. Laurie & Gather, U., 2002. "Breakdown and groups," Technical Reports 2002,57, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  10. Duchesne, Pierre, 2004. "On robust testing for conditional heteroscedasticity in time series models," Computational Statistics & Data Analysis, Elsevier, vol. 46(2), pages 227-256, June.
  11. Valdério Anselmo Reisen & Céline Lévy-Leduc & Edson Zambon Monte & Pascal Bondon, 2024. "A dimension reduction factor approach for multivariate time series with long-memory: a robust alternative method," Statistical Papers, Springer, vol. 65(5), pages 2865-2886, July.
  12. M. Angeles Carnero & Ana Pérez & Esther Ruiz, 2016. "Identification of asymmetric conditional heteroscedasticity in the presence of outliers," SERIEs: Journal of the Spanish Economic Association, Springer;Spanish Economic Association, vol. 7(1), pages 179-201, March.
  13. Spangl, B. & Dutter, R., 2012. "Analyzing short-term measurements of heart rate variability in the frequency domain using robustly estimated spectral density functions," Computational Statistics & Data Analysis, Elsevier, vol. 56(5), pages 1188-1199.
  14. Genton, Marc G. & de Luna, Xavier, 2000. "Robust simulation-based estimation," Statistics & Probability Letters, Elsevier, vol. 48(3), pages 253-259, July.
  15. Marc G. Genton & André Lucas, 2003. "Comprehensive definitions of breakdown points for independent and dependent observations," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 65(1), pages 81-94, February.
  16. Pierre Duchesne, 2005. "Robust and powerful serial correlation tests with new robust estimates in ARX models," Journal of Time Series Analysis, Wiley Blackwell, vol. 26(1), pages 49-81, January.
  17. Ollinger, Michael, 2024. "Recall characteristics and food safety process control," Food Policy, Elsevier, vol. 124(C).
  18. Eichler, M. & Türk, D.D.T., 2012. "Fitting semiparametric Markov regime-switching models to electricity spot prices," Research Memorandum 035, Maastricht University, Maastricht Research School of Economics of Technology and Organization (METEOR).
  19. Boudt, Kris & Heyndels, Ewoud, 2024. "Robust interactive fixed effects," Econometrics and Statistics, Elsevier, vol. 29(C), pages 206-223.
  20. Cristian F. Jiménez‐Varón & Fouzi Harrou & Ying Sun, 2024. "Pointwise data depth for univariate and multivariate functional outlier detection," Environmetrics, John Wiley & Sons, Ltd., vol. 35(5), August.
  21. Fried, Roland, 2008. "Robust shift detection in time-varying autoregressive processes," Technical Reports 2008,01, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  22. Erhard Reschenhofer & Thomas Stark & Manveer K. Mangat, 2020. "Robust Estimation of the Memory Parameter," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 9(4), pages 1-5.
  23. Stoyan V. Stoyanov & Yong Shin Kim & Svetlozar T. Rachev & Frank J. Fabozzi, 2017. "Option pricing for Informed Traders," Papers 1711.09445, arXiv.org.
  24. 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.
  25. Olcay Arslan, 2010. "An alternative multivariate skew Laplace distribution: properties and estimation," Statistical Papers, Springer, vol. 51(4), pages 865-887, December.
  26. Nunkesser, Robin & Fried, Roland & Schettlinger, Karen & Gather, Ursula, 2009. "Online analysis of time series by the Qn estimator," Computational Statistics & Data Analysis, Elsevier, vol. 53(6), pages 2354-2362, April.
  27. Trucíos, Carlos & Mazzeu, João H.G. & Hotta, Luiz K. & Valls Pereira, Pedro L. & Hallin, Marc, 2021. "Robustness and the general dynamic factor model with infinite-dimensional space: Identification, estimation, and forecasting," International Journal of Forecasting, Elsevier, vol. 37(4), pages 1520-1534.
  28. Eichler, M. & Türk, D., 2013. "Fitting semiparametric Markov regime-switching models to electricity spot prices," Energy Economics, Elsevier, vol. 36(C), pages 614-624.
  29. Fajardo, Fabio Alexander, 2011. "Some Alternatives for Robust Estimation of the Spectrum in Stationary Processes," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 31(1), March.
  30. Li, Qi & Lian, Heng & Zhu, Fukang, 2016. "Robust closed-form estimators for the integer-valued GARCH (1,1) model," Computational Statistics & Data Analysis, Elsevier, vol. 101(C), pages 209-225.
  31. Fried, Roland & Gather, Ursula, 2004. "Robust Trend Estimation for AR(1) Disturbances," Technical Reports 2004,64, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
  32. Hella, Heikki, 2003. "On robust ESACF identification of mixed ARIMA models," Bank of Finland Scientific Monographs, Bank of Finland, volume 0, number sm2003_027, July.
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