The robust focused information criterion for strong mixing stochastic processes with \(\mathscr{L}^2\)-differentiable parametric densities

DOI10.1007/s11203-020-09208-2zbMath1465.62031OpenAlexW3012408280MaRDI QIDQ2023474

T. V. Ramanathan, S. C. Pandhare

Publication date: 3 May 2021

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-020-09208-2

zbMATH Keywords

local asymptotic normalityexchange ratesquadratic mean differentiabilityasymmetric Laplace autoregressive processfocused model selectionrobust estimation for stochastic processestime series outliersvon Mises functional calculus

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Foundations and philosophical topics in statistics (62A01) Large deviations (60F10) Statistical aspects of information-theoretic topics (62B10)

Related Items (2)

The robust desparsified lasso and the focused information criterion for high-dimensional generalized linear models ⋮ The focussed information criterion for generalised linear regression models for time series

Uses Software

• robustbase

Cites Work

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