Asymptotic Analysis of Iterated 1-step Huber-skip M-estimators with Varying Cut-offs

Bent Nielsen () and Xiyu Jiao ()
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Bent Nielsen: Nuffield College, Oxford
Xiyu Jiao: Department of Economics, University of Oxford and Mansfield College

No 2016-W08, Economics Papers from Economics Group, Nuffield College, University of Oxford

Abstract: We consider outlier detection algorithms for time series regression based on iterated 1-step Huber-skip M-estimators. This paper analyses the role of varying cut-offs in such algorithms. The argument involves an asymptotic theory for a new class of weighted and marked empirical processes allowing for estimation errors of the scale and the regression coefficient.

Keywords: The iterated 1-step Huber-skip M-estimator; Tightness; A fixed point; Poisson approximation to gauge; Weighted and marked empirical processes. (search for similar items in EconPapers)
Pages: 28 pages
Date: 2016-08-25
New Economics Papers: this item is included in nep-ecm
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Persistent link: https://EconPapers.repec.org/RePEc:nuf:econwp:1608

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