Influence functionals for time series (with discussion) (Q1085911)

In this very interesting paper influence functionals of parameter estimates in time series models are introduced and their properties studied. The authors consider a contaminated observations process of the form \(y_ t^{\gamma}=(1-z_ t^{\gamma})x_ t+z_ t^{\gamma}w_ t\), \(t=1,2,...\), \(0\leq \gamma \leq 1\), where \(x_ t\) is a core process (usually Gaussian), \(w_ t\) is a contaminating process and \(z_ t^{\gamma}\) is a zero-one process with \(P(z_ t^{\gamma}=1)=\gamma +o(\gamma)\). If \(T(\mu_ y^{\gamma})\) denotes the functional representation of a given estimate where the measures \(\mu_ y^{\gamma}\) for \(y_ t^{\gamma}\) are in an appropriate subset of the family of stationary and ergodic measures on \(({\mathbb{R}}^{\infty},\beta^{\infty})\), then the influence functional IF is a derivative of T along ''arcs'' traced by \(\mu_ y^{\gamma}\) as \(\gamma\to 0\). More precisely \[ IF(\mu_{\omega},T,\{\mu_ y^{\gamma}\})=\lim_{\gamma \to 0}(T(\mu_ y^{\gamma})-T(\mu_ y^ 0))/\gamma \] provided the limit exists. In other sections the authors deal with the following questions and problems: 1) the connection to Hampel's definition of influence curve is thoroughly discussed and a simple relationship established; 2) specific results for generalized M-estimates and RA estimates of first order autoregressive and moving average models are derived and definition of gross-error sensitivity for them introduced; 3) a class of generalized RA estimates based on IF is described and optimality properties of them are given; 4) some possible generalizations of the IF through applications to the white-noise test statistic and to spectral density estimation are sketched. The paper is supplemented by a very ample discussion.