Article ID Journal Published Year Pages File Type
5061567 Economics Letters 2009 4 Pages PDF
Abstract

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.

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Related Topics
Social Sciences and Humanities Economics, Econometrics and Finance Economics and Econometrics
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An algorithm for robust fitting of autoregressive models
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