Infinitesimal robustness for autoregressive processes
We define the influence function and construct optimal robust estimators for autoregressive processes. We show that the asymptotic bias caused by small contaminations of the marginals can be written as the integral of a certain function with respect to the contamination. This function is called the influence function. It is unique only up to an equivalence relation, but there is a natural unique version which describes the limiting influence of an additional observation given the previous observations. Moreover, with this version the asymptotic variance at the true model can be expressed in a simple form. Optimal robust estimators minimize this asymptotic variance under a constraint on the influence function. As in the i.i.d. case, they are found by truncating a multiple of the influence function of the maximum likelihood estimator.
- Robust estimation for ARMA models
- Influence functionals for time series (with discussion)
- Optimal robust estimation for discrete time stochastic processes
- On the stability of robust filter-cleaners
- Robust M-estimators in diffusion processes
- Minimum distance estimation in an additive effects outliers model
- Alternative equations for combining the results of Kalman filters.
- Influence functional for higher order autoregression
- Resistant estimators for stationary ergodic stochastic processes.
- Studentized autoregressive time series residuals
- Robust simulation-based estimation
- Robust heart rate variability analysis by generalized entropy minimization
- Classical and Bayesian aspects of robust unit root inference
- The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities
- Robust parametric inference for finite Markov chains
- Asymptotic behavior of RA-estimates in autoregressive 2D processes
- On location estimation for LARCH processes
- On the robust estimation in Poisson processes with periodic intensities
- Robust efficient method of moments
- Robust GMM tests for structural breaks
- Highly efficient weighted for autoregression wilcoxon estimes for autoregression
- A theory of robust long-run variance estimation
- Regeneration-based statistics for Harris recurrent Markov chains
- Robust location estimation under dependence
- WeightedL1-estimates for a VAR(p) time series model
- scientific article; zbMATH DE number 3899995 (Why is no real title available?)
- Trimmed mean and bounded influence estimators for the parameters of the ar(1) process
- scientific article; zbMATH DE number 18763 (Why is no real title available?)
- RECURSIVE GENERALIZED M ESTIMATES FOR AUTOREGRESSIVE MOVING-AVERAGE MODELS
- scientific article; zbMATH DE number 1208108 (Why is no real title available?)
- scientific article; zbMATH DE number 1210650 (Why is no real title available?)
- Robustness of the autoregressive spectral estimate for linear processes with infinite variance
- Asymptotic robustness of least median of squares for autoregressions with additive outliers
- An alternative multivariate skew Laplace distribution: properties and estimation
- GENERALIZED SIGNED-RANK ESTIMATORS FOR AUTOREGRESSION PARAMETERS
- The median estimate of the autoregressive location parameter
- scientific article; zbMATH DE number 4113799 (Why is no real title available?)
- Robust score and portmanteau tests of volatility spillover
- Higher-order infinitesimal robustness
- Robust estimation for the Weibull process applied to eruption records
- Robust estimation of stationary continuous-time ARMA models via indirect inference
- Parameter estimation of autoregressive models using the iteratively robust filtered fast- method
- Robustness of Zero Crossing Estimator
- Bootstrapping robust statistics for Markovian data applications to regenerative \(R\)-statistics and \(L\)-statistics
- Infinitesimal robustness for diffusions
- Robust efficient method of moments estimation
- Robust m-estimators
- Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
- Robust inference with GMM estimators
- Robust estimation in the logistic regression model
- Robust Two-Step Wavelet-Based Inference for Time Series Models
- A robust version of the hurdle model
- The change-of-variance function for dependent data
- A practical method for outlier detection in autoregressive time series modelling
This page was built for publication: Infinitesimal robustness for autoregressive processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1072296)
