Robust estimation of nonlinear regression with autoregressive errors.

DOI10.1016/S0167-7152(03)00052-XMaRDI QIDQ1423212zbMATH OpenOpenAlexFDO

Authors D. Massart, Sanjoy K. Sinha, C. A. Field, Bruce Smith

Publication date 14 February 2004

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0167-7152(03)00052-x

zbMATH Keywords

Asymptotic normalityAutoregressive errorsGeneralized M estimationInfluence functionMixingNonlinear regression

Mathematics Subject Classification ID

Point estimation (62F10) Robustness and adaptive procedures (parametric inference) (62F35) General nonlinear regression (62J02) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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Cites work

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• Asymptotic Properties of Maximum Likelihood Estimators for the Independent Not Identically Distributed Case
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• scientific article; zbMATH DE number 3647966 (Why is no real title available?)
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Cited in

(13)

• Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers
• Consistency of M-estimators of nonlinear signal processing models
• Robust nonlinear regression estimation in null recurrent time series
• Residual empirical processes and their application to GM-testing for the autoregression order
• Robust second-order least-squares estimation for regression models with autoregressive errors
• scientific article; zbMATH DE number 3842986 (Why is no real title available?)
• The performance of robust two-stage estimator in nonlinear regression with autocorrelated error
• scientific article; zbMATH DE number 3921744 (Why is no real title available?)
• Robust recursive estimation in nonlinear time series
• A note on nonlinear regression for the autoregressive moving average with non-hd errors
• Asymptotic behaviour of the LS estimator in a nonlinear model with long memory
• \(S\)-estimation of nonlinear regression models with dependent and heterogeneous observations
• Nonlinear kernel mode‐based regression for dependent data

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