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

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• The change-of-variance function of \(M\)-estimators of scale under general contamination
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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)

Cites Work

• Robust Estimation of a Location Parameter
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• Robust estimation in dependent situations
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• Infinitesimal robustness for autoregressive processes
• On a Theorem of Pitman
• A new infinitesimal approach to robust estimation
• Further remarks on robust estimation in dependent situations
• Change-of-variance sensitivities in regression analysis
• Min - max detection of weak signals in<tex>phi</tex>-mixing noise
• A maximum variance model for robust detection and estimation with dependent data
• Ordinary and proper location M-estimates for autoregressive-moving average models
• Most robust M-estimators in the infinitesimal sense
• The change-of-variance function for dependent data
• Robustness against unexpected dependence in the location model

Cited In (6)

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

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