Asymptotic analysis of iterated 1-step Huber-skip M-estimators with varying cut-offs

DOI10.1007/978-3-319-51313-3_2MaRDI QIDQ5283079zbMATHOpenAlexFDO

Authors Xiyu Jiao, Bent Nielsen

Publication date 18 July 2017

Published in Analytical Methods in Statistics (Search for Journal in Brave)

Full work available at URL https://www.nuffield.ox.ac.uk/economics/papers/2016/AMISTAT2016Aug24DP.pdf

zbMATH Keywords

time series regressiontightnessweighted and marked empirical processesa fixed pointiterated 1-step Huber-skip M-estimatorPoisson approximation to gauge

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites work

• scientific article; zbMATH DE number 5984104 (Why is no real title available?)
• scientific article; zbMATH DE number 6811479 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• A journey in single steps: robust one-step \(M\)-estimation in linear regression
• Analysis of the forward search using some new results for martingales and empirical processes
• Asymptotic theory of outlier detection algorithms for linear time series regression models
• Automatic selection of indicators in a fully saturated regression
• Exploiting infinite variance through dummy variables in nonstationary autoregressions
• Exponential inequalities for self-normalized martingales with applications
• Fitting an error distribution in some heteroscedastic time series models
• Influence Functions of Iteratively Reweighted Least Squares Estimators
• Matrix iterative analysis
• On tail probabilities for martingales
• One-Step Huber Estimates in the Linear Model
• Robust Estimation of a Location Parameter
• Trimmed Least Squares Estimation in the Linear Model
• Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression
• Weighted empirical processes in dynamic nonlinear models.

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(2)

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