Seminários de Estatística conjunto: SME/ICMC-USP e D.Est / UFSCar - 25/03/2011

["Prof. Marinho G. Andrade Filho" <marinho@icmc.usp.br>]

Divulgando:  Seminários de Estatística  conjunto: SME/ICMC-USP e D.Est / 
UFSCar - 25/03/2011


"Robust estimation in Time Series with different correlation structures 
and additive outliers"

Palestrante: Prof. PhD. Valderio Anselmo Reisen
Instituição: Departamento de Estatística - UFES

Data: 25/03/2011
Hora: 14:00
Local: Auditório do ICMC

Resumo: A desirable property of an autocovariance estimator is to be 
robust to the presence of additive outliers. It is well-known that the 
sample autocovariance,
based on the moments, does not own this property. Hence, the definition 
of an autocovariance estimator which is robust to additive outlier can 
be very useful for
time-series modelling. In this paper, some asymptotic properties of the 
robust scale and autocovariance estimators proposed by Ma & Genton 
(2000) is studied and applied
to time series with different correlation structures and, also, applied 
to periodic processes.


Att.
Marinho G Andrade
SME- ICMC- USP - São Carlos / SP.