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- W2487038860 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." @default.
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- W2487038860 date "2004-01-01" @default.
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- W2487038860 title "Robust Akaike Information Criterion for ARMA models" @default.
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