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| Solidny model autoregresyjny× | Model Autoregresywny (AR)× | Uogólniona metoda najmniejszych kwadratów (Robust GLS)× | |
|---|---|---|---|
| Dziedzina | Ekonometria | Ekonometria | Ekonometria |
| Rodzina | Regression model | Regression model | Regression model |
| Rok powstania≠ | 1986 | 1970s (popularised 1976) | 1936 / 1980 |
| Twórca≠ | Martin & Yohai (influential early work); broader robust time series literature | George E. P. Box and Gwilym M. Jenkins | Aitken (GLS theory, 1936); White (robust covariance, 1980) |
| Typ≠ | Robust time series model | Time series model | Robust linear regression |
| Źródło pierwotne≠ | Martin, R. D., & Yohai, V. J. (1986). Influence functionals for time series. Annals of Statistics, 14(3), 781–818. DOI ↗ | Box, G. E. P., & Jenkins, G. M. (1976). Time Series Analysis: Forecasting and Control (revised ed.). Holden-Day. ISBN: 978-0816211043 | Greene, W. H. (2012). Econometric Analysis (7th ed.). Pearson. Chapter 9: The Generalized Regression Model and Heteroscedasticity. ISBN: 978-0131395381 |
| Inne nazwy | robust autoregression, outlier-robust AR, M-estimator AR, heavy-tail AR | AR model, AR(p) model, autoregression, AR process | robust generalized least squares, GLS with robust standard errors, heteroscedasticity-consistent GLS, HC-GLS |
| Pokrewne≠ | 6 | 6 | 5 |
| Podsumowanie≠ | 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. | An autoregressive model of order p — AR(p) — expresses the current value of a time series as a linear function of its own p most recent past values plus a white-noise error. It is the building block of the Box-Jenkins family of time-series models and is widely used for forecasting stationary economic and financial series. | Robust GLS extends classical Generalized Least Squares by pairing GLS coefficient estimation with heteroscedasticity- and autocorrelation-consistent (HAC) standard errors, or by using M-estimation within the GLS framework. It corrects for non-spherical errors — heteroscedasticity, autocorrelation, or both — while also guarding inference against misspecification of the error covariance structure. |
| ScholarGateZbiór danych ↗ |
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