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Article: Robust multiple time series modelling

TitleRobust multiple time series modelling
Authors
Li, WKHui, YV
KeywordsAsymptotic distribution
Autoregression
Multivariate portmanteau statistic
Residual autocovariance
Robust estimation
Issue Date1989
PublisherOxford University Press. The Journal's web site is located at http://biomet.oxfordjournals.org/
Citation
Biometrika, 1989, v. 76 n. 2, p. 309-315 How to Cite?
DOI: http://dx.doi.org/10.1093/biomet/76.2.309
AbstractA robust estimation procedure for multiple time series is proposed based on robustifying the residual autocovariances in the estimating equation. The asymptotic distribution of these estimators is derived. A robustified multivariate portmanteau statistic is also obtained which can be useful in model diagnostic checking. An illustrative example based on the mink-muskrat data is presented. © 1989 Biometrika Trust.
Persistent Identifierhttp://hdl.handle.net/10722/137103
ISSN
0006-3444
2023 Impact Factor: 2.4
2023 SCImago Journal Rankings: 3.358
ISI Accession Number ID
WOS:A1989AE13400013

 

DC FieldValueLanguage
dc.contributor.authorLi, WKen_HK
dc.contributor.authorHui, YVen_HK
dc.date.accessioned2011-08-16T03:34:57Z-
dc.date.available2011-08-16T03:34:57Z-
dc.date.issued1989en_HK
dc.identifier.citationBiometrika, 1989, v. 76 n. 2, p. 309-315en_HK
dc.identifier.issn0006-3444en_HK
dc.identifier.urihttp://hdl.handle.net/10722/137103-
dc.description.abstractA robust estimation procedure for multiple time series is proposed based on robustifying the residual autocovariances in the estimating equation. The asymptotic distribution of these estimators is derived. A robustified multivariate portmanteau statistic is also obtained which can be useful in model diagnostic checking. An illustrative example based on the mink-muskrat data is presented. © 1989 Biometrika Trust.en_HK
dc.languageeng-
dc.publisherOxford University Press. The Journal's web site is located at http://biomet.oxfordjournals.org/en_HK
dc.relation.ispartofBiometrikaen_HK
dc.subjectAsymptotic distributionen_HK
dc.subjectAutoregressionen_HK
dc.subjectMultivariate portmanteau statisticen_HK
dc.subjectResidual autocovarianceen_HK
dc.subjectRobust estimationen_HK
dc.titleRobust multiple time series modellingen_HK
dc.typeArticleen_HK
dc.identifier.openurlhttp://library.hku.hk:4550/resserv?sid=HKU:IR&issn=0006-3444&volume=76&issue=2&spage=309&epage=315&date=1989&atitle=Robust+multiple+time+series+modelling-
dc.identifier.emailLi, WK: hrntlwk@hku.hken_HK
dc.identifier.authorityLi, WK=rp00741en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1093/biomet/76.2.309en_HK
dc.identifier.scopuseid_2-s2.0-0011305928en_HK
dc.identifier.volume76en_HK
dc.identifier.issue2en_HK
dc.identifier.spage309en_HK
dc.identifier.epage315en_HK
dc.identifier.isiWOS:A1989AE13400013-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridLi, WK=14015971200en_HK
dc.identifier.scopusauthoridHui, YV=36492679800en_HK
dc.identifier.issnl0006-3444-

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