A New Clipping Approach for Robust ACF Estimation
The importance of working with sufficiently robust methods has been rising in recent years. This growth is related to the extensive usage of highly frequent data, which we currently encounter in many fields including finance. Since with an increasing number of observations, the probability of outlie...
| Main Authors: | , , , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Czech Statistical Office
2019-03-01
|
| Series: | Statistika: Statistics and Economy Journal |
| Subjects: | |
| Online Access: | https://www.czso.cz/documents/10180/88506450/32019719q1_024.pdf/8dc82f4f-9092-4b1f-b61e-97564ff182a7?version=1.0 |