Inference for response-limited time-series models

Research output: Contribution to journalArticle

1 Citation (Scopus)

Abstract

This paper introduces a robust time series estimation procedure based on a new nonlinear time-series model called the response-limited ARMA model. Under this procedure, in contrast to location or regression, the uncorrected pseudo-observations, which produce the parameter estimates when submitted to a standard analysis, also yield satisfactory standard errors for inference purposes.

Original languageEnglish (US)
Pages (from-to)2587-2596
Number of pages10
JournalCommunications in Statistics - Theory and Methods
Volume11
Issue number22
DOIs
StatePublished - Jan 1 1982

Fingerprint

Time Series Models
Pseudo-observations
Nonlinear Time Series Model
ARMA Model
Standard error
Time series
Regression
Estimate
Standards

Keywords

  • ARMA model
  • robust estimation

ASJC Scopus subject areas

  • Statistics and Probability

Cite this

Inference for response-limited time-series models. / Rocke, David M.

In: Communications in Statistics - Theory and Methods, Vol. 11, No. 22, 01.01.1982, p. 2587-2596.

Research output: Contribution to journalArticle

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