The change-of-variance function for dependent data

DOI10.1007/BF01192138zbMATH Open0732.62025OpenAlexW1982431880MaRDI QIDQ808574FDOQ808574

Authors Ola G. Hössjer

Publication date 1991

Published in Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/bf01192138

zbMATH Keywords

time seriesM-estimatorsasymptotic variancecontaminationlocation parameterdependencybivariate distributionschange-of-variance functioninfinitesimal stabilityaverage patch length of the outlierschange-of-variance sensitivitymost V-robust score functionsoptimal V-robustredescending score-functionstruncation pointunivariate distribution

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites work

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• scientific article; zbMATH DE number 3794378 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
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• A maximum variance model for robust detection and estimation with dependent data
• A new infinitesimal approach to robust estimation
• Change-of-variance sensitivities in regression analysis
• Further remarks on robust estimation in dependent situations
• General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
• Infinitesimal robustness for autoregressive processes
• Influence functionals for time series (with discussion)
• Large-sample properties of parameter estimates for strongly dependent stationary Gaussian time series
• Min - max detection of weak signals in<tex>phi</tex>-mixing noise
• Most robust M-estimators in the infinitesimal sense
• On a Theorem of Pitman
• Ordinary and proper location M-estimates for autoregressive-moving average models
• Robust Estimation of a Location Parameter
• Robust estimation in dependent situations
• Robustness against unexpected dependence in the location model
• The Influence Curve and Its Role in Robust Estimation
• The change-of-variance function for dependent data

Cited in

(6)

• The change-of-variance function: A tool to explore the effects of dependencies in spatial statistics
• The change-of-variance function of \(M\)-estimators of scale under general contamination
• Robustness against unexpected dependence in the location model
• Change-of-variance sensitivities in regression analysis
• The change-of-variance function for dependent data
• Variance etable r-estimators

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