Large sample behaviour of some well-known robust estimators under long-range dependence

DOI10.1080/02331888.2011.539442zbMath1291.62108OpenAlexW2049229426MaRDI QIDQ5402580

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

Publication date: 14 March 2014

Published in: Statistics (Search for Journal in Brave)

Full work available at URL: http://publications.ut-capitole.fr/15203/1/boistard_2011_statistics.pdf

zbMATH Keywords

long-range dependenceU-processHodges-Lehmann location estimatorBickel-Shamos scale estimatorCroux-Rousseeuw scale estimatorMa-Genton autocovariance estimator

Mathematics Subject Classification ID

Asymptotic properties of nonparametric inference (62G20) Nonparametric robustness (62G35) Stationary stochastic processes (60G10)

Related Items (9)

M-periodogram for the analysis of long-range-dependent time series ⋮ An \(M\)-estimator for the long-memory parameter ⋮ Robust explicit estimation of the log-logistic distribution with applications ⋮ Asymptotic properties of \(U\)-processes under long-range dependence ⋮ Continuous mapping approach to the asymptotics of \(U\)- and \(V\)-statistics ⋮ Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations ⋮ Robust factor modelling for high-dimensional time series: an application to air pollution data ⋮ Investigation of finite-sample properties of robust location and scale estimators ⋮ A Comparative Note about Estimation of the Fractional Parameter under Additive Outliers

Cites Work

• Asymptotic properties of \(U\)-processes under long-range dependence
• Multiple stochastic integrals with dependent integrators
• Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
• Alternatives to the Median Absolute Deviation
• Robust Statistics
• Estimates of Location Based on Rank Tests
• A Class of Statistics with Asymptotically Normal Distribution
• Unnamed Item

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