General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
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Publication:3940696
DOI10.1007/BF00532805zbMath0482.62080OpenAlexW129684980WikidataQ100556434 ScholiaQ100556434MaRDI QIDQ3940696
E. A. Pilotta and G. A. Torres O. H. Bustos
Publication date: 1982
Published in: Zeitschrift für Wahrscheinlichkeitstheorie und verwandte Gebiete (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf00532805
consistencyasymptotic normalityM-estimatesleast squares estimatescontaminated pth-order autoregressive processessimultaneous estimation of coefficients and scale parameter
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Monte Carlo methods (65C05)
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