General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality

DOI10.1007/BF00532805zbMath0482.62080OpenAlexW129684980WikidataQ100556434 ScholiaQ100556434MaRDI QIDQ3940696

E. A. Pilotta and G. A. Torres O. H. Bustos

Publication date: 1982

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/bf00532805

zbMATH Keywords

consistencyasymptotic normalityM-estimatesleast squares estimatescontaminated pth-order autoregressive processessimultaneous estimation of coefficients and scale parameter

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Monte Carlo methods (65C05)

Related Items (33)

\(M\)-estimation for dependent random variables ⋮ Strong convergence of estimators in nonlinear autoregressive models ⋮ Consistency of the jackknife-after-bootstrap variance estimator for the bootstrap quantiles of a Studentized statistic ⋮ Outlier detection tests based on martingale estimating equations for stochastic processes ⋮ Bahadur-Kiefer representations for GM-estimators in autoregression models ⋮ Edgeworth expansions for Studentized statistics under weak dependence ⋮ Optimal robust estimation for discrete time stochastic processes ⋮ Estimation of parameters for Hilbert space-valued partially observable stochastic processes ⋮ Robust M-estimators in diffusion processes ⋮ RECURSIVE GENERALIZED M ESTIMATES FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS ⋮ Asymptotic distributions of some robust scale estimators in explosive AR(1) model ⋮ Asymptotics of some estimators and sequential residual empiricals in nonlinear time series ⋮ WeightedL₁-estimates for a VAR(p) time series model ⋮ Robust estimation of stationary continuous‐time arma models via indirect inference ⋮ Quantiles for \(t\)-statistics based on \(M\)-estimators of unit roots ⋮ A weak convergence result useful in robust autoregression ⋮ Robust estimation of bilinear time series models ⋮ The change-of-variance function: A tool to explore the effects of dependencies in spatial statistics ⋮ The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities ⋮ Test for parameter change based on the estimator minimizing density-based divergence meas\-ures ⋮ On consistent statistical procedures in regression ⋮ A note on the consistency of a robust estimator for threshold autoregressive processes ⋮ Theoretical comparisons of block bootstrap methods ⋮ Asymptotic variance of \(M\)-estimators for dependent Gaussian random variables ⋮ AN OUTLIER TEST FOR TIME SERIES BASED ON A TWO-SIDED PREDICTOR ⋮ Asymptotic behavior of M-estimator and related random field for diffusion process ⋮ Robust autoregressive estimates using quadratic programming ⋮ A Smooth Block Bootstrap for Statistical Functionals and Time Series ⋮ Estimators based on ranks for arma models ⋮ Unnamed Item ⋮ The change-of-variance function for dependent data ⋮ Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers ⋮ Robust parameter estimation for the Ornstein-Uhlenbeck process

Cites Work

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• Asymptotic behavior of least-squares estimates for autoregressive processes with infinite variances
• Asymptotic behavior of general M-estimates for regression and scale with random carriers
• Regression and autoregression with infinite variance
• Autoregressive processes with infinite variance
• Robust Estimation of the First-Order Autoregressive Parameter
• The 1972 Wald Lecture Robust Statistics: A Review
• A Power Spectral Estimate Which Is Insensitive to Transients
• Relations between Weak and Uniform Convergence of Measures with Applications

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