Optimal robust estimation for discrete time stochastic processes

P.M. Kulkarni and C.C. Heyde

Stochastic Processes and their Applications, 1987, vol. 26, 267-276

Abstract: In this paper a general method of constructing robust quasi-likelihood estimating functions for discrete time stochastic processes is given. Examples of a regression model with autoregressive errors and a general contamination model are presented to illustrate the methodology. The loss of efficiency involved in robustification is also discussed.

Keywords: estimating; function; optimality; score; function; generalized; M-estimation; contamination; autoregressive; processes; robust; quasi-likelihood (search for similar items in EconPapers)
Date: 1987
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