M-Estimation of Scale Parameters in a Structural Time Series Model
We develop scale estimators of a structural time series model which are robust towards additive outliers. This is done by extending the application of the $M$-estimation technique to the scale estimation problem in time series data. A Monte Carlo experiment is carried out to study the robust propert...
Saved in:
| Main Author: | |
|---|---|
| Format: | text |
| Language: | English |
| Published: |
Institutional Knowledge at Singapore Management University
1996
|
| Subjects: | |
| Online Access: | https://ink.library.smu.edu.sg/soe_research/462 |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|
| Institution: | Singapore Management University |
| Language: | English |