Optimal robust estimation for discrete time stochastic processes

DOI10.1016/0304-4149(87)90180-3zbMath0655.62092OpenAlexW2052752819MaRDI QIDQ1109468

S. H. Smith

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

zbMATH Keywords

regression modelscore functionautoregressive errorsdiscrete time stochastic processconstructing robust quasi-likelihood estimating functionsgeneral contamination modelgeneralized M-estimationoptimal robust estimationzero mean square integrable vector estimating functions

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09) Robustness and adaptive procedures (parametric inference) (62F35)

Related Items (7)

Inference and martingale estimating equations for stochastic processes on a semigroup ⋮ A quasi-likelihood approach to the REML estimating equations ⋮ Outlier detection tests based on martingale estimating equations for stochastic processes ⋮ Optimal estimating functions and wedderburn's quasi-likelihood ⋮ A note on estimating equations for linear parameters in discrete-time stochastic processes ⋮ On the stability of robust filter-cleaners ⋮ On asymptotic quasi-likelihood estimation

Cites Work

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• Infinitesimal robustness for autoregressive processes
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• Robust tests for time series with an application to first-order autoregressive processes
• Quasi-Likelihood and Optimal Estimation, Correspondent Paper
• General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
• Robust Estimation of the First-Order Autoregressive Parameter
• Robust Statistics

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