Robust estimation of nonlinear regression with autoregressive errors

Generalized M (or GM) estimation has been extended to the case of a nonlinear regression model with autoregressive and heteroscedastic errors. The robustness properties of the GM estimators have been investigated based on the time-series analog of Hampel's influence function. The asymptotic properties of these estimators have been studied in some detail.

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Year of publication:	2003
Authors:	Sinha, Sanjoy K. ; Field, Christopher A. ; Smith, Bruce
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 63.2003, 1, p. 49-59
Publisher:	Elsevier
Keywords:	Nonlinear regression Autoregressive errors Generalized M estimation Influence function Asymptotic normality Mixing

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005259194