Robust Two-Step Wavelet-Based Inference for Time Series Models

Latent time series models such as (the independent sum of) ARMA(p, q) models with additional stochastic processes are increasingly used for data analysis in biology, ecology, engineering, and economics. Inference on and/or prediction from these models can be highly challenging: (i) the data may cont...

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Vydáno v:	Journal of the American Statistical Association Ročník 117; číslo 540; s. 1996 - 2013
Hlavní autoři:	Guerrier, Stéphane, Molinari, Roberto, Victoria-Feser, Maria-Pia, Xu, Haotian
Médium:	Journal Article
Jazyk:	angličtina
Vydáno:	United States Taylor & Francis 02.10.2022 Taylor & Francis Ltd
Témata:	Asymptotic properties Biology Complexity Data analysis Ecology Economic analysis Economic models economics Estimation Generalized method of wavelet moments Inference Large-scale time series Normality Outliers (statistics) prediction Prediction models Property Regression analysis Robustness Scale-based analysis of variance Signal processing Simulation State-space models Statistical methods Statistics Stochastic models Stochastic processes Theory and Methods Time series time series analysis variance wavelet Wavelet variance Large-scale time series Signal processing Scale-based analysis of variance Generalized method of wavelet moments State-space models Wavelet variance
ISSN:	0162-1459, 1537-274X, 1537-274X
On-line přístup:	Získat plný text
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