A robust estimation procedure for multiple time series is proposed based on robustifying the residual autocovariances in the estimating equation. The asymptotic distribution of these estimators is derived. A robustified multivariate portmanteau statistic is also obtained which can be useful in model diagnostic checking. An illustrative example based on the mink-muskrat data is presented. Copyright © 1989 Oxford University Press on behalf of Biometrika Trust.
CitationLi, W. K., & Hui, Y. V. (1989). Robust multiple time series modelling. Biometrika, 76(2), 309-315. doi: 10.1093/biomet/76.2.309
- Asymptotic distribution
- Multivariate portmanteau statistic
- Residual autocovariance
- Robust estimation