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Optimal conditionally unbiased bounded-influence inference in dynamic location and scale models

Mancini, Loriano (contributor); … - 2004 - [Elektronische Ressource]

Persistent link: https://www.econbiz.de/10002431855

Optimal conditionally unbiased bounded-influence inference in dynamic location and scale models

Mancini, Loriano; Ronchetti, Elvezio; Trojani, Fabio - 2005

Persistent link: https://www.econbiz.de/10002841646

Optimal conditionally unbiased bounded-influence inference in dynamic location and scale models

Mancini, Loriano; Ronchetti, Elvezio; Trojani, Fabio - In: Journal of the American Statistical Association : JASA 100 (2005) 470, pp. 628-641

Persistent link: https://www.econbiz.de/10002929809

Robust resampling methods for time series

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This Version: May 9, 2010

Persistent link: https://www.econbiz.de/10003968460

Robust resampling methods for time series

Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2010 - This version: May 9, 2010

We study the robustness of block resampling procedures for time series. We first derive a set of formulas to characterize their quantile breakdown point. For the moving block bootstrap and the subsampling, we find a very low quantile breakdown point. A similar robustness problem arises in...

Persistent link: https://www.econbiz.de/10003971115