77 citations · 81 across the 5 of their papers we have counts for
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math.ST2014★ 1 cited
Dynamic Principal Components in the Time Domain
Daniel Peña, Víctor J. Yohai
We propose a time domain approach to define dynamic principal components (DPC) using a reconstruction of the original series criterion. This approach to define DPC was introduced b…
math.ST2009★ 77 cited
Robust estimation for ARMA models
Nora Muler, Daniel Peña, Víctor J. Yohai
This paper introduces a new class of robust estimates for ARMA models. They are M-estimates, but the residuals are computed so the effect of one outlier is limited to the period wh…