Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes

DOI10.1111/j.1467-9892.2010.00688.xzbMath1290.62082arXiv0912.4686OpenAlexW2102680499MaRDI QIDQ4979097

Valdério Anselmo Reisen, Murad S. Taqqu, Céline Lévy-Leduc, Helène Boistard, Eric Moulines

Publication date: 16 June 2014

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0912.4686

zbMATH Keywords

robustnessHadamard differentiabilityinfluence functionautocovariance functionscale estimatorlong-memoryfunctional Delta method

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Gaussian processes (60G15) Nonparametric robustness (62G35) Central limit and other weak theorems (60F05) Non-Markovian processes: estimation (62M09)

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Uses Software

• longmemo

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