Robust Autocorrelation Estimation
Ημερομηνία
2016Συγγραφέας
Chang, Christopher C.Politis, Dimitris Nicolas
ISSN
1061-8600Source
Journal of Computational and Graphical StatisticsVolume
25Issue
1Pages
144-166Google Scholar check
Keyword(s):
Metadata
Εμφάνιση πλήρους εγγραφήςΕπιτομή
In this article, we introduce a new class of robust autocorrelation estimators based on interpreting the sample autocorrelation function as a linear regression. We investigate the efficiency and robustness properties of the estimators that result from employing three common robust regression techniques. We discuss the construction of robust autocovariance and positive definite autocorrelation estimates, and their application to AR model fitting. We perform simulation studies with various outlier configurations to compare the different estimators. © 2016 American Statistical Association, Institute of Mathematical Statistics, and Interface Foundation of North America.