Optimal robust estimation for discrete time stochastic processes
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Publication:1109468
DOI10.1016/0304-4149(87)90180-3zbMath0655.62092MaRDI QIDQ1109468
Publication date: 1987
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(87)90180-3
regression model; score function; autoregressive errors; discrete time stochastic process; constructing robust quasi-likelihood estimating functions; general contamination model; generalized M-estimation; optimal robust estimation; zero mean square integrable vector estimating functions
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62M09: Non-Markovian processes: estimation
62F35: Robustness and adaptive procedures (parametric inference)
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