Influence functionals for time series (with discussion)

DOI10.1214/aos/1176350027zbMath0608.62042OpenAlexW1986014851WikidataQ100558070 ScholiaQ100558070MaRDI QIDQ1085911

R. Douglas Martin, Víctor J. Yohai

Publication date: 1986

Published in: The Annals of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aos/1176350027

zbMATH Keywords

robustnessspectral density estimationgross-error sensitivitytime series modelsoptimality propertiesgeneralized M-estimatesgeneralized RA estimatesHampel's definition of influence curveinfluence functionals of parameter estimates

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35)

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