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
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DOI - Digital Object Identifier
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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
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Czech description
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Classification
Type
D - Article in proceedings
CEP classification
BA - General mathematics
OECD FORD branch
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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
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e-ISSN
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Number of pages
5
Pages from-to
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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
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