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Regression modelEconometrics / time series

Modelu Imara ya ARMA

Modelu Imara ya ARMA (Robust ARMA) huipanua mfumo wa kawaida wa Autoregressive Moving Average kwa kubadilisha hasara nyeti ya viwanja vidogo (least-squares) na mbinu za kukadiria zinazostahimili mkengeuko — kwa kawaida mbinu za M-estimators au zinazotegemea mediani. Hii hulinda makadirio ya vigezo na utabiri dhidi ya kupotoshwa na mkengeuko wa nyongeza (additive outliers), mabadiliko ya kiwango (level shifts), au mkengeuko wa uvumbuzi (innovational outliers) ambao ni wa kawaida katika mfululizo wa muda wa kiuchumi na kifedha.

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Vyanzo

  1. Franses, P. H., & Ghijsels, H. (1999). Additive outliers, GARCH and forecasting volatility. International Journal of Forecasting, 15(1), 1-9. link
  2. Martin, R. D., & Yohai, V. J. (1986). Influence functionals for time series. The Annals of Statistics, 14(3), 781-818. link

Jinsi ya kunukuu ukurasa huu

ScholarGate. (2026, June 3). Robust Autoregressive Moving Average Model. ScholarGate. https://scholargate.app/sw/econometrics/robust-arma-model

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Imerejelewa na

ScholarGateRobust ARMA Model (Robust Autoregressive Moving Average Model). Imepatikana 2026-06-15 kutoka https://scholargate.app/sw/econometrics/robust-arma-model · Seti ya data: https://doi.org/10.5281/zenodo.20539026