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

DOI10.1080/02331888.2011.539442MaRDI QIDQ5402580zbMATH OpenOpenAlexFDO

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

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)

Recommendations

• The asymptotic behaviour of a class ofL-estimators under long-range dependence
• Robust estimation in parametric time series models under long- and short-range-dependent structures
• The difference of symmetric quantiles under long range dependence
• Robust estimation of the scale and of the autocovariance function of Gaussian short- and long-range dependent processes
• Robust location estimation under dependence

Cites work

• scientific article; zbMATH DE number 1715060 (Why is no real title available?)
• A Class of Statistics with Asymptotically Normal Distribution
• Alternatives to the Median Absolute Deviation
• Asymptotic properties of U-processes under long-range dependence
• Estimates of Location Based on Rank Tests
• Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
• Multiple stochastic integrals with dependent integrators
• Robust Statistics

Cited in

(12)

• Robust location estimation under dependence
• 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
• A dimension reduction factor approach for multivariate time series with long-memory: a robust alternative method
• An M-estimator for the long-memory parameter
• Robust explicit estimation of the log-logistic distribution with applications
• A comparative note about estimation of the fractional parameter under additive outliers
• The difference of symmetric quantiles under long range dependence
• \(M\)-periodogram for the analysis of long-range-dependent time series
• Asymptotic properties of U-processes under long-range dependence
• Continuous mapping approach to the asymptotics of U- and V-statistics
• Investigation of finite-sample properties of robust location and scale estimators

This page was built for publication: Large sample behaviour of some well-known robust estimators under long-range dependence

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5402580)