Estimation of Time Series Models via Robust Wavelet Variance
A robust approach to the estimation of time series models is proposed. Taking from
a new estimation method called the Generalized Method of Wavelet Moments (GMWM)
which is an indirect method based on the Wavelet Variance (WV), we replace the classical
estimator of the WV with a recently proposed robust M-estimator to obtain a robust
version of the GMWM. The simulation results show that the proposed approach can be
considered as a valid robust approach to the estimation of time series and state-space
The Austrian Journal of Statistics publish open access articles under the terms of the Creative Commons Attribution (CC BY) License.
The Creative Commons Attribution License (CC-BY) allows users to copy, distribute and transmit an article, adapt the article and make commercial use of the article. The CC BY license permits commercial and non-commercial re-use of an open access article, as long as the author is properly attributed.
Copyright on any research article published by the Austrian Journal of Statistics is retained by the author(s). Authors grant the Austrian Journal of Statistics a license to publish the article and identify itself as the original publisher. Authors also grant any third party the right to use the article freely as long as its original authors, citation details and publisher are identified.
Manuscripts should be unpublished and not be under consideration for publication elsewhere. By submitting an article, the author(s) certify that the article is their original work, that they have the right to submit the article for publication, and that they can grant the above license.