INVESTIGADORES
YOHAI Victor Jaime
artículos
Título:
Robust estimation for vector autoregressive models
Autor/es:
NORA MULER; VICTOR J. YOHAI
Revista:
COMPUTATIONAL STATISTICS AND DATA ANALYSIS
Editorial:
ELSEVIER SCIENCE BV
Referencias:
Lugar: Amsterdam; Año: 2013 vol. 65 p. 68 - 79
ISSN:
0167-9473
Resumen:
In this paper we extend the MM-estimators based on the boundedninnovation propagation AR model to VAR models .These estimators have a filtering mechanism that avoids the propagation of the effect of one outlier to the residuals of the subsequent periods . Besides, they are consistent and have the same asymptotic normal distribution than regular MM-estimators for VAR models. We perform a Monte Carlo study which shows that these estimators compare favorable with respect to other robust estimators.