Second-order robustness for time series inference

DOI10.1007/S11203-023-09296-WOpenAlexW4386946810MaRDI QIDQ6155084FDOQ6155084

Authors: Xiao-Fei Xu, Yan Liu, Masanobu Taniguchi 

Publication date: 16 February 2024

Published in: Statistical Inference for Stochastic Processes (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11203-023-09296-w

zbMATH Keywords

Edgeworth expansionspectral densityWhittle estimatorGaussian stationary processsecond-order robustness

Mathematics Subject Classification ID

Inference from stochastic processes (62Mxx)

Cites Work

• Robust Estimation of a Location Parameter
• Asymptotic theory of statistical inference for time series
• Robust Statistics
• The Influence Curve and Its Role in Robust Estimation
• Influence functionals for time series (with discussion)
• Optimal Conditionally Unbiased Bounded-Influence Inference in Dynamic Location and Scale Models
• The commutation matrix: Some properties and applications
• Asymptotic efficiency of statistical estimators: concepts and higher order asymptotic efficiency
• Higher order asymptotic theory for time series analysis
• Title not available (Why is that?)
• Higher-order infinitesimal robustness
• On the second order asymptotic efficiency of estimators of Gaussian ARMA processes
• Asymptotic properties of the maximum likelihood estimate in the first order autoregressive process
• Robust linear interpolation and extrapolation of stationary time series in \(L^p\)
• Empirical likelihood and quantile methods for time series. Efficiency, robustness, optimality, and prediction

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