Two new approaches to robust estimation in time series

Chan Lam LO, Wai Keung LI

Research output: Contribution to journalArticlespeer-review

1 Citation (Scopus)


Two new approaches to robust time series modelling are proposed. These approaches are natural generalisations of the Yule—Walker and the least squares methods. The approaches generate further a few viable estimators. Simulation experiments are conducted to investigate the relative efficiency and the breakdown bounds of these estimators. Copyright © 1990 Gordon and Breach, Science Publishers, Inc.
Original languageEnglish
Pages (from-to)209-255
JournalJournal of Statistical Computation and Simulation
Issue number4
Publication statusPublished - 1990


Lo, C. L., & Li, W. K. (1990). Two new approaches to robust estimation in time series. Journal of Statistical Computation and Simulation, 34(4), 209-255. doi: 10.1080/00949659008811228


  • Additive outliers
  • Innovation outliers
  • Autoregressive model
  • Breakdown bound
  • Robust autocorrelation
  • Robust covariance matrix


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