Robust Two-Step Wavelet-Based Inference for Time Series Models
Robust Two-Step Wavelet-Based Inference for Time Series Models
Latent time series models such as (the independent sum of) ARMA(p, q) models with additional stochastic processes are increasingly used for data analysis in biology, ecology, engineering, and economics. Inference on and/or prediction from these models can be highly challenging: (i) the data may contain outliers that can adversely affect …