Robust estimation of (partial) autocorrelation
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Date
2014-04-08
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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.
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Keywords
autocovariance, correlogram, time series, outliers