Robust estimation of (partial) autocorrelation

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DC Field	Value	Language
dc.contributor.author	Dürre, Alexander	-
dc.contributor.author	Fried, Roland	-
dc.contributor.author	Liboschik, Tobias	-
dc.date.accessioned	2014-04-08T10:44:15Z	-
dc.date.available	2014-04-08T10:44:15Z	-
dc.date.issued	2014-04-08	-
dc.identifier.uri	http://hdl.handle.net/2003/33011	-
dc.identifier.uri	http://dx.doi.org/10.17877/DE290R-13701	-
dc.description.abstract	The autocorrelation function (acf) and the partial autocorrelation function (pacf) are elementary tools of linear time series analysis. The sensitivity of the conventional sample acf and pacf to outliers is well known. We review robust estimators and evaluate their performances in different data situations considering Gaussian scenarios with and without outliers in a simulation study.	en
dc.language.iso	en	de
dc.relation.ispartofseries	Discussion Paper / SFB 823;12/2014	-
dc.subject	autocovariance	en
dc.subject	correlogram	en
dc.subject	time series	en
dc.subject	outliers	en
dc.subject.ddc	310	-
dc.subject.ddc	330	-
dc.subject.ddc	620	-
dc.title	Robust estimation of (partial) autocorrelation	en
dc.type	Text	de
dc.type.publicationtype	workingPaper	de
dcterms.accessRights	open access	-
Appears in Collections:	Sonderforschungsbereich (SFB) 823

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