Search Results - subject:"Influence functional"

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Robust estimation of stationary continuous‐time arma models via indirect inference

Fasen‐Hartmann, Vicky; Kimmig, Sebastian - In: Journal of Time Series Analysis 41 (2020) 5, pp. 620-651

robustness properties such as weak resistance, πdn-robustness and it has a bounded influence functional. The practical …

Persistent link: https://www.econbiz.de/10012428706

On robust tail index estimation

Beran, Jan; Schell, Dieter - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3430-3443

A new approach to tail index estimation based on huberization of the Pareto MLE is considered. The proposed estimator is robust in a nonstandard way in that it protects against deviations from the central model at low quantiles. Asymptotic normality with the parametric n-rate of convergence is...

Persistent link: https://www.econbiz.de/10011056385