Estimation of Time Series Models via Robust Wavelet Variance
A robust approach to the estimation of time series models is proposed. Taking from a new estimation method called the Generalized Method of Wavelet Moments (GMWM) which is an indirect method based on the Wavelet Variance (WV), we replace the classical estimator of the WV with a recently proposed ro...
| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Austrian Statistical Society
2014-06-01
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| Series: | Austrian Journal of Statistics |
| Online Access: | http://www.ajs.or.at/index.php/ajs/article/view/45 |