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सुदृढ़ समय श्रृंखला विश्लेषण×Sn and Qn Scale Estimators×
क्षेत्रसांख्यिकीसांख्यिकी
परिवारRegression modelRegression model
उद्भव वर्ष20191993
प्रवर्तकMaronna, Martin, Yohai & Salibián-Barrera (textbook treatment); robust estimation traditionRousseeuw & Croux
प्रकारRobust time series model (AR / MA / ARIMA)Robust scale estimator
मौलिक स्रोतMaronna, R. A., Martin, R. D., Yohai, V. J., & Salibián-Barrera, M. (2019). Robust Statistics: Theory and Methods (with R) (2nd ed.). Wiley. ISBN: 978-1119214687Rousseeuw, P. J., & Croux, C. (1993). Alternatives to the Median Absolute Deviation. Journal of the American Statistical Association, 88(424), 1273-1283. DOI ↗
उपनामrobust ARIMA, robust autoregressive model, outlier-resistant time series, Robust Zaman Serisi AnaliziSn estimator, Qn estimator, Rousseeuw-Croux scale estimators, robust scale estimation
संबंधित55
सारांशRobust Time Series Analysis fits autoregressive, moving-average, and ARIMA models to series that contain outliers or structural breaks, using M-estimation or MM-estimation instead of ordinary least squares so that a few anomalous observations do not distort the fit. It follows the robust statistics tradition consolidated in Maronna, Martin, Yohai and Salibián-Barrera (2019).Sn and Qn are robust estimators of scale (spread) proposed by Rousseeuw and Croux (1993) as alternatives to the median absolute deviation (MAD). Both attain a 50% breakdown point while delivering higher statistical efficiency than MAD, so they measure dispersion accurately even when the data contain outliers.
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  1. v1
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  3. PUBLISHED

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