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Robust parameter estimation for stationary processes by an exotic disparity from prediction problem

Yan Liu

Statistics & Probability Letters, 2017, vol. 129, issue C, 120-130

Abstract: A new class of disparities from the point of view of prediction problem is proposed for minimum contrast estimation of spectral densities of stationary processes. We investigate asymptotic properties of the minimum contrast estimators based on the new disparities for stationary processes with both finite and infinite variance innovations. The relative efficiency and the robustness against randomly missing observations are shown in our numerical simulations.

Keywords: Stationary process; Spectral density; Minimum contrast estimation; Prediction problem; Asymptotic efficiency (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (2)

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DOI: 10.1016/j.spl.2017.05.005

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