Regression modelEconometrics / time series

Robust Autoregressive Model

The robust AR model fits an autoregressive time series specification using estimation methods — typically M-estimators or bounded-influence estimators — that resist distortion from outliers and heavy-tailed error distributions. Unlike OLS-based AR estimation, robust variants down-weight extreme observations so that a small number of contaminated data points cannot dominate the fitted dynamics.

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Sources

  1. Martin, R. D., & Yohai, V. J. (1986). Influence functionals for time series. Annals of Statistics, 14(3), 781–818. DOI: 10.1214/aos/1176350041
  2. Francq, C., & Zakoian, J.-M. (2010). GARCH Models: Structure, Statistical Inference and Financial Applications. Wiley. ISBN: 978-0470683910

Related methods

Referenced by

ScholarGateRobust AR model (Robust Autoregressive Model). Retrieved 2026-06-04 from https://scholargate.app/en/econometrics/robust-ar-model