Fréchet differentiability in statistical inference for time series

DOI10.1007/S10260-010-0143-YzbMATH Open1332.62105OpenAlexW1969536348MaRDI QIDQ257586FDOQ257586

Authors: T. Bednarski 

Publication date: 17 March 2016

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

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

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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)

Cites Work

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• Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
• The notion of \(\psi \)-weak dependence and its applications to bootstrapping time series

Cited In (4)

• Robust parameter estimation for the Ornstein-Uhlenbeck process
• Title not available (Why is that?)
• Degrees of freedom of a time series
• Existence, uniqueness and Fréchet differentiability of \(\psi\)-estimates of parameters in stationary observation

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