Asymptotic Analysis of Iterated 1-Step Huber-Skip M-Estimators with Varying Cut-Offs

DOI10.1007/978-3-319-51313-3_2zbMath1366.62135OpenAlexW2548205536MaRDI QIDQ5283079

Xiyu Jiao, Bent Nielsen

Publication date: 18 July 2017

Published in: Analytical Methods in Statistics (Search for Journal in Brave)

Full work available at URL: https://www.nuffield.ox.ac.uk/economics/papers/2016/AMISTAT2016Aug24DP.pdf

zbMATH Keywords

tightnesstime series regressionweighted and marked empirical processesa fixed pointiterated 1-step Huber-skip M-estimatorPoisson approximation to gauge

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Linear regression; mixed models (62J05) Robustness and adaptive procedures (parametric inference) (62F35)

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