TY - JOUR AU - Guerrier, Stephane AU - Molinari, Roberto AU - Victoria-Feser, Maria-Pia PY - 2014/06/13 Y2 - 2024/03/29 TI - Estimation of Time Series Models via Robust Wavelet Variance JF - Austrian Journal of Statistics JA - AJS VL - 43 IS - 4 SE - Articles DO - 10.17713/ajs.v43i4.45 UR - https://www.ajs.or.at/index.php/ajs/article/view/vol43-4-5 SP - 267-277 AB - <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> ER -