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Robust estimation of the VAR model

The result's identifiers

  • Result code in IS VaVaI

    <a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F00216208%3A11320%2F09%3A00206779" target="_blank" >RIV/00216208:11320/09:00206779 - isvavai.cz</a>

  • Result on the web

  • DOI - Digital Object Identifier

Alternative languages

  • Result language

    angličtina

  • Original language name

    Robust estimation of the VAR model

  • Original language description

    Vector autoregressive model is a very popular tool in multiple time series analysis. Its parameters are usually estimated by the least squares procedure which is very sensitive to the presence of errors in data, e.g. outliers. If outliers were present, the estimation results would become unreliable. Therefore in the presented paper we will propose a new procedure for estimating multivariate regression model. This method is a multivariate generalization of the least weighted squares (LWS) of residuals and we will use it for estimating the coefficients of vector autoregressive model.

  • Czech name

  • Czech description

Classification

  • Type

    D - Article in proceedings

  • CEP classification

    BA - General mathematics

  • OECD FORD branch

Result continuities

  • Project

    <a href="/en/project/GA402%2F09%2F0557" target="_blank" >GA402/09/0557: Robustification of selected econometric methods</a><br>

  • Continuities

    P - Projekt vyzkumu a vyvoje financovany z verejnych zdroju (s odkazem do CEP)

Others

  • Publication year

    2009

  • Confidentiality

    S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Data specific for result type

  • Article name in the collection

    WDS'09 Proceedings of Contributed Papers: Part I - Mathematics

  • ISBN

    978-80-7378-101-9

  • ISSN

  • e-ISSN

  • Number of pages

    5

  • Pages from-to

  • Publisher name

    Matfyzpress

  • Place of publication

    Praha

  • Event location

    Praha

  • Event date

    Jan 1, 2009

  • Type of event by nationality

    CST - Celostátní akce

  • UT code for WoS article