Article: Robust multiple time series modelling

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TitleRobust multiple time series modelling
AuthorsLi, WK1
Hui, YV2
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/
CitationBiometrika, 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.
DescriptionSubscribed fulltext link: http://www.jstor.org/stable/2336664
ISSN0006-3444
2011 Impact Factor: 1.912
2011 SCImago Journal Rankings: 0.125
DOIhttp://dx.doi.org/10.1093/biomet/76.2.309
DC Field
Value
dc.contributor.authorLi, WK
dc.contributor.authorHui, YV
dc.date.accessioned2011-08-16T03:34:57Z
dc.date.available2011-08-16T03:34:57Z
dc.date.issued1989
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.
dc.description.natureLink_to_subscribed_fulltext
dc.descriptionSubscribed fulltext link: http://www.jstor.org/stable/2336664
dc.identifier.citationBiometrika, 1989, v. 76 n. 2, p. 309-315 [How to Cite?]
DOI: http://dx.doi.org/10.1093/biomet/76.2.309
dc.identifier.doihttp://dx.doi.org/10.1093/biomet/76.2.309
dc.identifier.epage315
dc.identifier.isiWOS:A1989AE13400013
dc.identifier.issn0006-3444
2011 Impact Factor: 1.912
2011 SCImago Journal Rankings: 0.125
dc.identifier.issue2
dc.identifier.openurl
dc.identifier.scopuseid_2-s2.0-0011305928
dc.identifier.spage309
dc.identifier.urihttp://hdl.handle.net/10722/137103
dc.identifier.volume76
dc.languageeng
dc.publisherOxford University Press. The Journal's web site is located at http://biomet.oxfordjournals.org/
dc.publisher.placeUnited Kingdom
dc.relation.ispartofBiometrika
dc.subjectAsymptotic distribution
dc.subjectAutoregression
dc.subjectMultivariate portmanteau statistic
dc.subjectResidual autocovariance
dc.subjectRobust estimation
dc.titleRobust multiple time series modelling
dc.typeArticle
Author Affiliations
  1. The University of Hong Kong
  2. Chinese University of Hong Kong