About: Robust estimation of the VAR model

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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 univariate Least Weighted Squares (LWS) of residuals introduced in [14]. Therefore we will call this estimate Multivariate Least Weighted Squares (MLWS) and we will use it for estimating the coeficients of vector autoregressive model. We will also perform a simulation study to compare our estimate with LS and robust Multivariate Least Trimmed Squares (MLTS). 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 univariate Least Weighted Squares (LWS) of residuals introduced in [14]. Therefore we will call this estimate Multivariate Least Weighted Squares (MLWS) and we will use it for estimating the coeficients of vector autoregressive model. We will also perform a simulation study to compare our estimate with LS and robust Multivariate Least Trimmed Squares (MLTS). (en)
Title	Robust estimation of the VAR model Robust estimation of the VAR model (en)
skos:prefLabel	Robust estimation of the VAR model Robust estimation of the VAR model (en)
skos:notation	RIV/00216208:11320/10:10071396!RIV11-GA0-11320___
http://linked.open...avai/riv/aktivita	P S
http://linked.open...avai/riv/aktivity	P(GA402/09/0557), S
http://linked.open...vai/riv/dodaniDat	2011
http://linked.open...aciTvurceVysledku	Jonáš, Petr
http://linked.open.../riv/druhVysledku	D - Článek ve sborníku
http://linked.open...iv/duvernostUdaju	S - Úplné a pravdivé údaje nepodléhající ochraně podle zvláštních právních předpisů
http://linked.open...titaPredkladatele	Univerzita Karlova v Praze / Matematicko-fyzikální fakulta
http://linked.open...dnocenehoVysledku	285572
http://linked.open...ai/riv/idVysledku	RIV/00216208:11320/10:10071396
http://linked.open...riv/jazykVysledku	eng - angličtina
http://linked.open.../riv/klicovaSlova	model; VAR; the; estimation; Robust (en)
http://linked.open.../riv/klicoveSlovo	estimation model VAR the Robust
http://linked.open...ontrolniKodProRIV	[ECB4A199255E]
http://linked.open...v/mistoKonaniAkce	České Budějovice
http://linked.open...i/riv/mistoVydani	České Budějovice
http://linked.open...i/riv/nazevZdroje	Proceedings of the 28th International Conference Mathematical Methods in Economics 2010, Part I
http://linked.open...in/vavai/riv/obor	BB
http://linked.open...ichTvurcuVysledku	1 (xsd:int)
http://linked.open...cetTvurcuVysledku	1 (xsd:int)
http://linked.open...vavai/riv/projekt	Robustification of selected econometric methods
http://linked.open...UplatneniVysledku	2010
http://linked.open...iv/tvurceVysledku	Jonáš, Petr
http://linked.open...vavai/riv/typAkce	WRD - Světová
http://linked.open.../riv/zahajeniAkce	2010-09-08 (xsd:date)
number of pages	6 (xsd:int)
http://purl.org/ne...btex#hasPublisher	Jihočeská univerzita, ekonomická fakulta
https://schema.org/isbn	978-80-7394-218-2
http://localhost/t...ganizacniJednotka	11320
is http://linked.open...avai/riv/vysledek of	Robust estimation of the VAR model Robust estimation of the VAR model Robust estimation of the VAR model

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