Regression modelEconometrics / time series
稳健自回归模型
稳健自回归（AR）模型使用估计方法——通常是M估计量或有界影响估计量——来拟合自回归时间序列模型，这些方法能够抵抗异常值和重尾误差分布的扭曲。与基于普通最小二乘（OLS）的AR估计不同，稳健变体对极端观测值进行降权，从而使少量受污染的数据点无法主导拟合的动态。
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来源
- Martin, R. D., & Yohai, V. J. (1986). Influence functionals for time series. Annals of Statistics, 14(3), 781–818. DOI: 10.1214/aos/1176350027 ↗
- Francq, C., & Zakoian, J.-M. (2010). GARCH Models: Structure, Statistical Inference and Financial Applications. Wiley. ISBN: 978-0470683910
如何引用本页
ScholarGate. (2026, June 3). Robust Autoregressive Model. ScholarGate. https://scholargate.app/zh/econometrics/robust-ar-model
Which method?
Set this method beside its closest kin and read them side by side — the library lays the books on the table; the choice is yours.
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