Robust Indirect Inference
From MaRDI portal
Publication:4468524
DOI10.1198/016214503388619102zbMath1047.62025MaRDI QIDQ4468524
Marc G. Genton, Elvezio Ronchetti
Publication date: 10 June 2004
Published in: Journal of the American Statistical Association (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1198/016214503388619102
stochastic differential equations; influence function; robustness of validity; correlated observations; robustness of efficiency; space-time autoregression
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F10: Point estimation
62F35: Robustness and adaptive procedures (parametric inference)
62M05: Markov processes: estimation; hidden Markov models
60J65: Brownian motion
Related Items
Unnamed Item, Fast indirect robust generalized method of moments, The indirect method: inference based on intermediate statistics -- a synthesis and examples