Infinitesimal robustness for autoregressive processes
From MaRDI portal
Publication:1072296
DOI10.1214/aos/1176346706zbMath0587.62077OpenAlexW1996972331WikidataQ100557878 ScholiaQ100557878MaRDI QIDQ1072296
Publication date: 1984
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176346706
time seriesasymptotic biasM-estimatorsinfluence functionasymptotic variancemaximum likelihood estimatorautoregressive processesoptimal robust estimatorscontaminationsinfinitesimal robustness
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)
Related Items (41)
Robust efficient method of moments ⋮ Robust GMM tests for structural breaks ⋮ Robust parametric inference for finite Markov chains ⋮ Robust heart rate variability analysis by generalized entropy minimization ⋮ A theory of robust long-run variance estimation ⋮ GENERALIZED SIGNED-RANK ESTIMATORS FOR AUTOREGRESSION PARAMETERS ⋮ Asymptotic robustness of least median of squares for autoregressions with additive outliers ⋮ The median estimate of the autoregressive location parameter ⋮ Classical and Bayesian aspects of robust unit root inference ⋮ On the robust estimation in Poisson processes with periodic intensities ⋮ Optimal robust estimation for discrete time stochastic processes ⋮ On the stability of robust filter-cleaners ⋮ Robust M-estimators in diffusion processes ⋮ RECURSIVE GENERALIZED M ESTIMATES FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS ⋮ A robust version of the hurdle model ⋮ Robust Two-Step Wavelet-Based Inference for Time Series Models ⋮ A practical method for outlier detection in autoregressive time series modelling ⋮ WeightedL1-estimates for a VAR(p) time series model ⋮ An alternative multivariate skew Laplace distribution: properties and estimation ⋮ Unnamed Item ⋮ Studentized autoregressive time series residuals ⋮ Robust estimation of stationary continuous‐time arma models via indirect inference ⋮ Highly efficient weighted for autoregression wilcoxon estimes for autoregression ⋮ Robust score and portmanteau tests of volatility spillover ⋮ Unnamed Item ⋮ Robust estimation for the Weibull process applied to eruption records ⋮ Higher-Order Infinitesimal Robustness ⋮ Robust inference with GMM estimators ⋮ Parameter Estimation of Autoregressive Models Using the Iteratively Robust Filtered Fast-τ Method ⋮ Robust m-estimators ⋮ Robust estimation in the logistic regression model ⋮ The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities ⋮ On location estimation for LARCH processes ⋮ Robust estimation for ARMA models ⋮ Alternative equations for combining the results of Kalman filters. ⋮ Robustness of Zero Crossing Estimator ⋮ Robust simulation-based estimation ⋮ Regeneration-based statistics for Harris recurrent Markov chains ⋮ Bootstrapping Robust Statistics for Markovian Data Applications to Regenerative R‐Statistics and L‐Statistics ⋮ Robust location estimation under dependence ⋮ The change-of-variance function for dependent data
This page was built for publication: Infinitesimal robustness for autoregressive processes
