The change-of-variance function for dependent data
DOI10.1007/BF01192138zbMath0732.62025OpenAlexW1982431880MaRDI QIDQ808574
Publication date: 1991
Published in: Probability Theory and Related Fields (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/bf01192138
time seriesM-estimatorsasymptotic variancelocation parametercontaminationdependencybivariate distributionschange-of-variance functioninfinitesimal stabilityaverage patch length of the outlierschange-of-variance sensitivitymost V-robust score functionsoptimal V-robustredescending score-functionstruncation pointunivariate distribution
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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