Two New Robust Methods for Time Series

  • Andrew G. Bruce
  • R. Douglas Martin
  • Victor J. Yohai
Conference paper

Abstract

We illustrate our method with a simple time series structural model approach. However, the general approach applies to more sophisticated structural and ARIMA models. This modelling approach is a generalization of the Gaussian mixture modeling of Harrison and Stevens (1976), Smith and West (1983), and West and Harrison (1989).

Keywords

Autocorrelation Argentina Aires 

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References

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Copyright information

© Springer-Verlag Berlin Heidelberg 1992

Authors and Affiliations

  • Andrew G. Bruce
    • 1
    • 2
    • 3
  • R. Douglas Martin
    • 1
    • 2
    • 3
  • Victor J. Yohai
    • 1
    • 2
    • 3
  1. 1.Statistical Sciences, Inc.SeattleUSA
  2. 2.Department of StatisticsUniversity of WashingtonSeattleUSA
  3. 3.Department of MathematicsUniversity of Buenos AiresBuenos AiresArgentina

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