Browsing by Subject "ARMA models"

Article

An algorithm for robust fitting of autoregressive models

Politis, Dimitris Nicolas (2009)

An algorithm for robust fitting of AR models is given, based on a linear regression idea. The new method appears to outperform the Yule-Walker estimator in a setting of data contaminated with outliers. © 2008 Elsevier B.V. ...

Article

ARM A Models, Prewhitening, and Minimum Gross Entropy

Politis, Dimitris Nicolas (1993)

The problem of spectral estimation on the basis of observations from a finite stretch of a stationary time series is considered, in connection with knowledge of a prior estimate of the spectral density. In general, the ...

Article

Modelling long-term dependence in measurement errors of plutonium concentration

Paparoditis Efstathios, E. (1992)

In this paper the fractional differenced autoregressive-moving average (ARMA) model is applied in order to model the long-term dependence of plutonium concentration measurements of a physical process, and its performance ...

Article

ORDER IDENTIFICATION STATISTICS IN STATIONARY AUTOREGRESSIVE MOVING‐AVERAGE MODELS:VECTOR AUTOCORRELATIONS AND THE BOOTSTRAP

Paparoditis Efstathios, E.; Streitberg, B. (1992)

Abstract. In this paper we consider the vector autocorrelation approach for identifying ARMA (p, q) models and use a bootstrap procedure in order to evaluate the distribution of the corresponding sample statistics by means ...