Browsing by Subject "Linear time series"

Now showing items 1-2 of 2

    • 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  

      Nonlinearity of arch and stochastic volatility models and bartlett's formula 

      Kokoszka, P. S.; Politis, Dimitris Nicolas (2011)
      We review some notions of linearity of time series and show that ARCH or stochastic volatility (SV) processes are not only non-linear: they are not even weakly linear, i.e., they do not even have a martingale representation. ...