Asymptotic robustness of least median of squares for autoregressions with additive outliers

DOI10.1080/03610929708832053zbMath0954.62562OpenAlexW2110415471MaRDI QIDQ4269967

André Lucas

Publication date: 10 November 1999

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610929708832053

zbMATH Keywords

influence functionbias curvebreakdown curvebreakdown in time series

Mathematics Subject Classification ID

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

Related Items (5)

Robust signal extraction for on-line monitoring data. ⋮ Selecting sub-set autoregressions from outlier contaminated data. ⋮ Robust simulation-based estimation ⋮ Breakdown and groups. (With discussions and rejoinder) ⋮ Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers

Cites Work

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• Infinitesimal robustness for autoregressive processes
• Influence functionals for time series (with discussion)
• Qualitative robustness for stochastic processes
• Robust direction estimation
• Aspects of robust linear regression
• An outlier robust unit root test with an application to the extended Nelson-Plosser data
• Lower bounds for contamination bias: Globally minimax versus locally linear estimation
• Least Median of Squares Regression
• Breakdown in Nonlinear Regression

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