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Robust and nonlinear time series analysis : proceedings of a workshop organized by the Sonderforschungsbereich 123 "Stochastische Mathematische Modelle", Heidelberg 1983

Author: Jürgen Franke; Wolfgang Härdle; D Martin; Sonderforschungsbereich 123--"Stochastische Mathematische Modelle."
Publisher: New York : Springer-Verlag, 1984.
Series: Lecture notes in statistics (Springer-Verlag), v. 26.
Edition/Format:   Print book : Conference publication : EnglishView all editions and formats
Summary:

Classical time series methods are based on the assumption that a particular stochastic process model generates the observed data.

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Genre/Form: Robuste Zeitreihenanalyse
Kongress
Conference papers and proceedings
Congresses
Congrès
Additional Physical Format: Online version:
Robust and nonlinear time series analysis.
New York : Springer-Verlag, 1984
(OCoLC)680274686
Material Type: Conference publication
Document Type: Book
All Authors / Contributors: Jürgen Franke; Wolfgang Härdle; D Martin; Sonderforschungsbereich 123--"Stochastische Mathematische Modelle."
ISBN: 354096102X 9783540961024 038796102X 9780387961026
OCLC Number: 11398945
Description: vii, 286 pages : illustrations ; 25 cm.
Contents: On the Use of Bayesian Models in Time Series Analysis.- Order Determination for Processes with Infinite Variance.- Asymptotic Behaviour of the Estimates Based on Residual Autocovariances for ARMA Models.- Parameter Estimation of Stationary Processes with Spectra Containing Strong Peaks.- Linear Error-in-Variables Models.- Minimax-Robust Filtering and Finite-Length Robust Predictors.- The Problem of Unsuspected Serial Correlations.- The Estimation of ARMA Processes.- How to Determine the Bandwidth of some Nonlinear Smoothers in Practice.- Remarks on NonGaussian Linear Processes with Additive Gaussian Noise.- Gross-Error Sensitivies of GM and RA-Estimates.- Some Aspects of Qualitative Robustness in Time Series.- Tightness of the Sequence of Empiric C.D.F. Processes Defined from Regression Fractiles.- Robust Nonparametric Autoregression.- Robust Regression by Means of S-Estimators.- On Robust Estimation of Parameters for Autoregressive Moving Average Models.
Series Title: Lecture notes in statistics (Springer-Verlag), v. 26.
Responsibility: edited by J. Franke, W. Härdle, and D. Martin.

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