Estimated characteristic roots in stationary auto-regressions are shown to give rather noisy information about their population equivalents. This is remarkable given the central role of the characteristic roots in the theory of autoregressive processes. In the asymptotic analysis the problems...

An extended and improved theory is presented for marked and weighted empirical processes of residuals of time series regressions. The theory is motivated by 1-step Huber-skip estimators, where a set of good observations are selected using an initial estimator and an updated estimator is found by...