An algorithm for robust fitting of autoregressive models
Date
2009Author
Politis, Dimitris NicolasSource
Economics LettersVolume
102Issue
2Pages
128-131Google Scholar check
Keyword(s):
Metadata
Show full item recordAbstract
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. All rights reserved.