The robust focused information criterion for strong mixing stochastic processes with L^2-differentiable parametric densities
asymmetric Laplace autoregressive processexchange ratesfocused model selectionlocal asymptotic normalityquadratic mean differentiabilityrobust estimation for stochastic processestime series outliersvon Mises functional calculus
Large deviations (60F10) Foundations and philosophical topics in statistics (62A01) Statistical aspects of information-theoretic topics (62B10) Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)
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- Using invalid instruments on purpose: focused moment selection and averaging for GMM
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- Von Mises calculus for statistical functionals
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