Regression modelEconometrics / time series
稳健移动平均（MA）模型
稳健MA模型将稳健估计——通常是M估计或有界影响方法——应用于移动平均时间序列模型。通过用有界损失函数替换普通最小二乘损失，它产生的参数估计比经典的Gausssian MA对异常值、加性噪声尖峰或重尾误差分布的敏感性要低得多。
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来源
- Denby, L., & Martin, R. D. (1979). Robust estimation of the first-order autoregressive parameter. Journal of the American Statistical Association, 74(365), 140–146. DOI: 10.1080/01621459.1979.10481630 ↗
- Muler, N., Pena, D., & Yohai, V. J. (2009). Robust estimation for ARMA models. Annals of Statistics, 37(2), 816–840. DOI: 10.1214/07-AOS570 ↗
如何引用本页
ScholarGate. (2026, June 3). Robust Moving Average Model. ScholarGate. https://scholargate.app/zh/econometrics/robust-ma-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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