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

DOI10.1007/978-3-319-51313-3_2zbMATH Open1366.62135OpenAlexW2548205536MaRDI QIDQ5283079FDOQ5283079

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

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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)

Cites Work

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• Trimmed Least Squares Estimation in the Linear Model
• Exponential inequalities for self-normalized martingales with applications
• Matrix iterative analysis
• Weak convergence of randomly weighted dependent residual empiricals with applications to autoregression
• A journey in single steps: robust one-step \(M\)-estimation in linear regression
• Weighted empirical processes in dynamic nonlinear models.
• Analysis of the forward search using some new results for martingales and empirical processes
• Influence Functions of Iteratively Reweighted Least Squares Estimators
• One-Step Huber Estimates in the Linear Model
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• EXPLOITING INFINITE VARIANCE THROUGH DUMMY VARIABLES IN NONSTATIONARY AUTOREGRESSIONS
• Fitting an error distribution in some heteroscedastic time series models
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• Automatic selection of indicators in a fully saturated regression
• Asymptotic theory of outlier detection algorithms for linear time series regression models

Cited In (1)

• Testing for coefficient distortion due to outliers with an application to the economic impacts of climate change

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