Robust estimation of nonlinear regression with autoregressive errors

Sanjoy K. Sinha, Christopher A. Field and Bruce Smith

Statistics & Probability Letters, 2003, vol. 63, issue 1, 49-59

Abstract: Generalized M (or GM) estimation has been extended to the case of a nonlinear regression model with autoregressive and heteroscedastic errors. The robustness properties of the GM estimators have been investigated based on the time-series analog of Hampel's influence function. The asymptotic properties of these estimators have been studied in some detail.

Keywords: Nonlinear; regression; Autoregressive; errors; Generalized; M; estimation; Influence; function; Asymptotic; normality; Mixing (search for similar items in EconPapers)
Date: 2003
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Citations: View citations in EconPapers (3)

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