Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models

DOI10.1198/016214504000001402MaRDI QIDQ5754843zbMATH OpenOpenAlexFDO

Authors Loriano Mancini, Elvezio Ronchetti, Fabio Trojani

Publication date 20 August 2007

Published in Journal of the American Statistical Association (Search for Journal in Brave)

Full work available at URL http://infoscience.epfl.ch/record/141850

Mathematics Subject Classification ID

Statistics (62-XX)

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Cited in

(26)

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• Robust estimation for ARMA models
• Robust heart rate variability analysis by generalized entropy minimization
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• Robust M-estimation of multivariate GARCH models
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• Robust parameter estimation for the Ornstein-Uhlenbeck process
• Fréchet differentiability in statistical inference for time series
• Robust efficient method of moments
• Robust GMM tests for structural breaks
• Discussion of the paper ``Asymptotic theory of outlier detection algorithms for linear time series regression models by Johansen and Nielsen
• M-estimator of a generalized linear model with measurement errors
• scientific article; zbMATH DE number 6919723 (Why is no real title available?)
• Robust score and portmanteau tests of volatility spillover
• R-estimation in semiparametric dynamic location-scale models
• Robust bootstrap forecast densities for GARCH returns and volatilities
• Robust efficient method of moments estimation
• Robust Two-Step Wavelet-Based Inference for Time Series Models
• Second-order robustness for time series inference
• Robust statistics: a selective overview and new directions
• Outlier robust nonlinear mixed model estimation
• Robustifying Likelihoods by Optimistically Re-weighting Data
• Inference via robust optimal transportation: theory and methods
• Robust subsampling
• GEL estimation for heavy-tailed GARCH models with robust empirical likelihood inference

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