@article{Guerrier_Molinari_Victoria-Feser_2014, title={Estimation of Time Series Models via Robust Wavelet Variance}, volume={43}, url={https://www.ajs.or.at/index.php/ajs/article/view/vol43-4-5}, DOI={10.17713/ajs.v43i4.45}, abstractNote={<p>A robust approach to the estimation of time series models is proposed. Taking from<br />a new estimation method called the Generalized Method of Wavelet Moments (GMWM)<br />which is an indirect method based on the Wavelet Variance (WV), we replace the classical<br />estimator of the WV with a recently proposed robust M-estimator to obtain a robust<br />version of the GMWM. The simulation results show that the proposed approach can be<br />considered as a valid robust approach to the estimation of time series and state-space<br />models.</p>}, number={4}, journal={Austrian Journal of Statistics}, author={Guerrier, Stephane and Molinari, Roberto and Victoria-Feser, Maria-Pia}, year={2014}, month={Jun.}, pages={267–277} }