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Robust estimation for ARMA models. (English) Zbl 1162.62405
Summary: This paper introduces a new class of robust estimates for ARMA models. They are M-estimates, but the residuals are computed so the effect of one outlier is limited to the period where it occurs. These estimates are closely related to those based on a robust filter, but they have two important advantages: they are consistent and the asymptotic theory is tractable. We perform a Monte Carlo where we show that these estimates compare favorably with respect to standard M-estimates and to estimates based on a diagnostic procedure.

62M10 Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F10 Point estimation
62F35 Robustness and adaptive procedures (parametric inference)
65C05 Monte Carlo methods
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