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Robust Akaike Information Criterion for ARMA models

Authors: AGOSTINELLI, Claudio;

Robust Akaike Information Criterion for ARMA models

Abstract

A robust version of the Akaike Information Criterion (AIC) [5] is defined to the aim of selecting the order of an ARMA model. It is an extended version of the classical criterion based on weighted likelihood methodology [12]. To achieve robustness a weight is associated to each component of the conditional log–likelihood [3]. This criterion is asymptotically equivalent to the classical one when no outliers are present; its robustness are studied in presence of additive and innovative outliers [7] with symmetric and asymmetric contamination by Monte Carlo simulations.

Country
Italy
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Keywords

AIC; additive and innovative outliers; ARMA; model selection; robustness; weighted likelihood

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
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