Fréchet differentiability in statistical inference for time series

DOI10.1007/S10260-010-0143-YMaRDI QIDQ257586zbMATH OpenOpenAlexFDO

Authors T. Bednarski

Publication date 17 March 2016

Published in Statistical Methods and Applications (Search for Journal in Brave)

Copyright license Creative Commons Attribution-NonCommercial 4.0 International

Full work available at URL https://doi.org/10.1007/s10260-010-0143-y

zbMATH Keywords

time seriesdifferentiabilityrobust inference

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Nonparametric robustness (62G35) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites work

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• A functional central limit theorem for weakly dependent sequences of random variables
• Asymptotic Minimax Character of the Sample Distribution Function and of the Classical Multinomial Estimator
• Asymptotic methods in statistical decision theory
• Inégalités de Hoeffding pour les fonctions lipschitziennes de suites dépendantes
• On robust model selection within the Cox model
• Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
• Robust estimation for ARMA models
• Testing for unit roots in autoregressive-moving average models of unknown order
• Testing the null hypothesis of stationarity against the alternative of a unit root. How sure are we that economic time series have a unit root?
• The fragility of the KPSS stationarity test
• The notion of \(\psi \)-weak dependence and its applications to bootstrapping time series
• Weak dependence. With examples and applications.

Cited in

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• Robust parameter estimation for the Ornstein-Uhlenbeck process
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• Degrees of freedom of a time series
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