Robust Estimation for ARMA models

@inproceedings{Muler2007RobustEF,
  title={Robust Estimation for ARMA models},
  author={Nora Muler and Daniel Pe{\~n}a and Vı́ctor J. Yohai},
  year={2007}
}
This paper introduces a new class of robust estimates for ARMA models. They are M-estimates, but the residuals are computed so the effect of one outlier is limited to the period where it occurs. These estimates are closely related to those based on a robust filter, but they have two important advantages: they are consistent and the asymptotic theory is tractable. We perform a Monte Carlo where we show that these estimates compare favorably with respect to standard M-estimates and to estimates… CONTINUE READING