Displaying similar documents to “Computational aspects of robust Holt-Winters smoothing based on M -estimation”

Time series analysis: recursive methods and their modifications for time series with outliers and missing observations.

Tomás Cipra, Asunción Rubio, José Trujillo (1991)

Extracta Mathematicae

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The recursive methods are popular in time series analysis since they are computationally efficient and flexible enough to treat various changes in character of data. This paper gives a survey of the most important type of these methods including their classification and relationships existing among them. Special attention is devoted to i) robustification of some recursive methods, capable of facing outliers in time series, and ii) modifications of recursive methods for time series with...

Robust recursive estimation of GARCH models

Tomáš Cipra, Radek Hendrych (2018)

Kybernetika

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The robust recursive algorithm for the parameter estimation and the volatility prediction in GARCH models is suggested. It seems to be useful for various financial time series, in particular for (high-frequency) log returns contaminated by additive outliers. The proposed procedure can be effective in the risk control and regulation when the prediction of volatility is the main concern since it is capable to distinguish and correct outlaid bursts of volatility. This conclusion is demonstrated...

Dynamic credibility with outliers and missing observations

Tomáš Cipra (1996)

Applications of Mathematics

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In actuarial practice the credibility models must face the problem of outliers and missing observations. If using the M -estimation principle from robust statistics in combination with Kalman filtering one obtains the solution of this problem that is acceptable in the numerical framework of the practical actuarial credibility. The credibility models are classified as static and dynamic in this paper and the shrinkage is used for the final ratemaking.