Advances in Applied Probability, Vol. 41, No. 3 (SEPTEMBER 2009), pp. 845-873 (29 pages) Large deviation principles and related results are given for a class of Markov chains associated to the 'leaves ...
In this paper we consider the problem of fitting, recursively in time, an autoregressive moving average (ARMA) model to time series data where outliers may be present. Although many recursive ...
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