Robust estimation of the vector autoregressive model by a least trimmed squares procedure

COMPSTAT 2008 - Proceedings in Computational Statistics, 18th Symposium

Volumn , Issue , 2008, Pages 489-501

  Croux, Christophe ^a   Joossens, Kristel ^a  

^a UNIVERSITY OF LEUVEN   (Belgium)

Author keywords

Multivariate time series; Outliers; Robustness; Trimming; Vector autoregressive models

Indexed keywords

ROBUSTNESS (CONTROL SYSTEMS); TIME SERIES; TRIMMING; VECTORS;

AUTO REGRESSIVE MODELS; ESTIMATION METHODS; LEAST TRIMMED SQUARES; MULTIPLE TIME SERIES; MULTIVARIATE LEAST TRIMMED SQUARES; MULTIVARIATE TIME SERIES; OUTLIERS; VECTOR AUTOREGRESSIVE MODEL;

LEAST SQUARES APPROXIMATIONS;

EID: 78049343675     PISSN: None     EISSN: None     Source Type: Conference Proceeding    
DOI: 10.1007/978-3-7908-2084-3_40     Document Type: Conference Paper

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