scientific article; zbMATH DE number 3787848

MaRDI QIDQ3965405zbMATH OpenFDO

Authors R. Douglas Martin

Publication date 1982

zbMATH Keywords

autoregression analogues of Huber regression M- estimatesCramer-Rao lower boundefficiency robustnessinformation matrixinnovationsminimax robustnessqualitative robustnessrobust estimationtime series

Mathematics Subject Classification ID

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

Cited in

(5)

• Optimal robust estimation for discrete time stochastic processes
• Outlier detection tests based on martingale estimating equations for stochastic processes
• Efficiency improvements in inference on stationary and nonstationary fractional time series
• scientific article; zbMATH DE number 4064318 (Why is no real title available?)
• One‐step M‐estimators in the linear model, with dependent errors

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