Large sample behaviour of some well-known robust estimators under long-range dependence
From MaRDI portal
Publication:5402580
DOI10.1080/02331888.2011.539442zbMath1291.62108MaRDI QIDQ5402580
Murad S. Taqqu, Valdério Anselmo Reisen, Céline Lévy-Leduc, Eric Moulines, Helène Boistard
Publication date: 14 March 2014
Published in: Statistics (Search for Journal in Brave)
Full work available at URL: http://publications.ut-capitole.fr/15203/1/boistard_2011_statistics.pdf
long-range dependence; U-process; Hodges-Lehmann location estimator; Bickel-Shamos scale estimator; Croux-Rousseeuw scale estimator; Ma-Genton autocovariance estimator
62G20: Asymptotic properties of nonparametric inference
62G35: Nonparametric robustness
60G10: Stationary stochastic processes
Related Items
M-periodogram for the analysis of long-range-dependent time series, Investigation of finite-sample properties of robust location and scale estimators, Robust explicit estimation of the log-logistic distribution with applications, Asymptotic properties of \(U\)-processes under long-range dependence, Robust estimation of fractional seasonal processes: modeling and forecasting daily average \(\mathrm{SO}_2\) concentrations, Robust factor modelling for high-dimensional time series: an application to air pollution data, An \(M\)-estimator for the long-memory parameter, Continuous mapping approach to the asymptotics of \(U\)- and \(V\)-statistics, A Comparative Note about Estimation of the Fractional Parameter under Additive Outliers
Cites Work
- Unnamed Item
- Asymptotic properties of \(U\)-processes under long-range dependence
- Multiple stochastic integrals with dependent integrators
- Limit theorems for nonlinear functionals of a stationary Gaussian sequence of vectors
- Alternatives to the Median Absolute Deviation
- Robust Statistics
- Estimates of Location Based on Rank Tests
- A Class of Statistics with Asymptotically Normal Distribution
