Robust estimation for vector autoregressive models

Autores
Muler, Nora; Yohai, Victor Jaime
Año de publicación
2013
Idioma
inglés
Tipo de recurso
artículo
Estado
versión publicada
Descripción
A new class of robust estimators for VAR models is introduced. These estimators are an extension to the multivariate case of the MM-estimators based on a bounded innovation propagation AR model. They have a filtering mechanism that avoids the propagation of the effect of one outlier to the residuals of the subsequent periods. Besides, they are consistent and have the same asymptotic normal distribution as regular MM-estimators for VAR models. A Monte Carlo study shows that these estimators compare favorable with respect to other robust ones.
Fil: Muler, Nora. Universidad Torcuato Di Tella. Departamento de Matemáticas y Estadística; Argentina
Fil: Yohai, Victor Jaime. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Departamento de Matemática; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
Materia
Robust Estimators
Bmm-Estimator
Var Models
Nivel de accesibilidad
acceso abierto
Condiciones de uso
https://creativecommons.org/licenses/by-nc-nd/2.5/ar/
Repositorio
CONICET Digital (CONICET)
Institución
Consejo Nacional de Investigaciones Científicas y Técnicas
OAI Identificador
oai:ri.conicet.gov.ar:11336/15912
Acceder
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network_acronym_str CONICETDig
repository_id_str 3498
network_name_str CONICET Digital (CONICET)
spelling Robust estimation for vector autoregressive modelsMuler, NoraYohai, Victor JaimeRobust EstimatorsBmm-EstimatorVar Modelshttps://purl.org/becyt/ford/1.1https://purl.org/becyt/ford/1A new class of robust estimators for VAR models is introduced. These estimators are an extension to the multivariate case of the MM-estimators based on a bounded innovation propagation AR model. They have a filtering mechanism that avoids the propagation of the effect of one outlier to the residuals of the subsequent periods. Besides, they are consistent and have the same asymptotic normal distribution as regular MM-estimators for VAR models. A Monte Carlo study shows that these estimators compare favorable with respect to other robust ones.Fil: Muler, Nora. Universidad Torcuato Di Tella. Departamento de Matemáticas y Estadística; ArgentinaFil: Yohai, Victor Jaime. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Departamento de Matemática; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; ArgentinaElsevier Science2013-09info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersionhttp://purl.org/coar/resource_type/c_6501info:ar-repo/semantics/articuloapplication/pdfapplication/pdfapplication/pdfhttp://hdl.handle.net/11336/15912Muler, Nora; Yohai, Victor Jaime; Robust estimation for vector autoregressive models; Elsevier Science; Computational Statistics And Data Analysis; 65; 9-2013; 68-790167-9473enginfo:eu-repo/semantics/altIdentifier/doi/10.1016/j.csda.2012.02.011info:eu-repo/semantics/altIdentifier/url/http://www.sciencedirect.com/science/article/pii/S016794731200093Xinfo:eu-repo/semantics/openAccesshttps://creativecommons.org/licenses/by-nc-nd/2.5/ar/reponame:CONICET Digital (CONICET)instname:Consejo Nacional de Investigaciones Científicas y Técnicas2025-09-29T10:05:26Zoai:ri.conicet.gov.ar:11336/15912instacron:CONICETInstitucionalhttp://ri.conicet.gov.ar/Organismo científico-tecnológicoNo correspondehttp://ri.conicet.gov.ar/oai/requestdasensio@conicet.gov.ar; lcarlino@conicet.gov.arArgentinaNo correspondeNo correspondeNo correspondeopendoar:34982025-09-29 10:05:26.575CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicasfalse
dc.title.none.fl_str_mv Robust estimation for vector autoregressive models
title Robust estimation for vector autoregressive models
spellingShingle Robust estimation for vector autoregressive models
Muler, Nora
Robust Estimators
Bmm-Estimator
Var Models
title_short Robust estimation for vector autoregressive models
title_full Robust estimation for vector autoregressive models
title_fullStr Robust estimation for vector autoregressive models
title_full_unstemmed Robust estimation for vector autoregressive models
title_sort Robust estimation for vector autoregressive models
dc.creator.none.fl_str_mv Muler, Nora
Yohai, Victor Jaime
author Muler, Nora
author_facet Muler, Nora
Yohai, Victor Jaime
author_role author
author2 Yohai, Victor Jaime
author2_role author
dc.subject.none.fl_str_mv Robust Estimators
Bmm-Estimator
Var Models
topic Robust Estimators
Bmm-Estimator
Var Models
purl_subject.fl_str_mv https://purl.org/becyt/ford/1.1
https://purl.org/becyt/ford/1
dc.description.none.fl_txt_mv A new class of robust estimators for VAR models is introduced. These estimators are an extension to the multivariate case of the MM-estimators based on a bounded innovation propagation AR model. They have a filtering mechanism that avoids the propagation of the effect of one outlier to the residuals of the subsequent periods. Besides, they are consistent and have the same asymptotic normal distribution as regular MM-estimators for VAR models. A Monte Carlo study shows that these estimators compare favorable with respect to other robust ones.
Fil: Muler, Nora. Universidad Torcuato Di Tella. Departamento de Matemáticas y Estadística; Argentina
Fil: Yohai, Victor Jaime. Universidad de Buenos Aires. Facultad de Ciencias Exactas y Naturales. Departamento de Matemática; Argentina. Consejo Nacional de Investigaciones Científicas y Técnicas; Argentina
description A new class of robust estimators for VAR models is introduced. These estimators are an extension to the multivariate case of the MM-estimators based on a bounded innovation propagation AR model. They have a filtering mechanism that avoids the propagation of the effect of one outlier to the residuals of the subsequent periods. Besides, they are consistent and have the same asymptotic normal distribution as regular MM-estimators for VAR models. A Monte Carlo study shows that these estimators compare favorable with respect to other robust ones.
publishDate 2013
dc.date.none.fl_str_mv 2013-09
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/publishedVersion
http://purl.org/coar/resource_type/c_6501
info:ar-repo/semantics/articulo
format article
status_str publishedVersion
dc.identifier.none.fl_str_mv http://hdl.handle.net/11336/15912
Muler, Nora; Yohai, Victor Jaime; Robust estimation for vector autoregressive models; Elsevier Science; Computational Statistics And Data Analysis; 65; 9-2013; 68-79
0167-9473
url http://hdl.handle.net/11336/15912
identifier_str_mv Muler, Nora; Yohai, Victor Jaime; Robust estimation for vector autoregressive models; Elsevier Science; Computational Statistics And Data Analysis; 65; 9-2013; 68-79
0167-9473
dc.language.none.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv info:eu-repo/semantics/altIdentifier/doi/10.1016/j.csda.2012.02.011
info:eu-repo/semantics/altIdentifier/url/http://www.sciencedirect.com/science/article/pii/S016794731200093X
dc.rights.none.fl_str_mv info:eu-repo/semantics/openAccess
https://creativecommons.org/licenses/by-nc-nd/2.5/ar/
eu_rights_str_mv openAccess
rights_invalid_str_mv https://creativecommons.org/licenses/by-nc-nd/2.5/ar/
dc.format.none.fl_str_mv application/pdf
application/pdf
application/pdf
dc.publisher.none.fl_str_mv Elsevier Science
publisher.none.fl_str_mv Elsevier Science
dc.source.none.fl_str_mv reponame:CONICET Digital (CONICET)
instname:Consejo Nacional de Investigaciones Científicas y Técnicas
reponame_str CONICET Digital (CONICET)
collection CONICET Digital (CONICET)
instname_str Consejo Nacional de Investigaciones Científicas y Técnicas
repository.name.fl_str_mv CONICET Digital (CONICET) - Consejo Nacional de Investigaciones Científicas y Técnicas
repository.mail.fl_str_mv dasensio@conicet.gov.ar; lcarlino@conicet.gov.ar
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score 13.070432

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