Robust estimation for structural time series models
This thesis aims at developing robust methods of estimation in order to draw valid inference from contaminated time series. We concentrate on additive and innovation outliers in structural time series models using a state space representation. The parameters of interest are the state, hyperparameter...
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London School of Economics and Political Science (University of London)
1990
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.645269 |