论文信息 - General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality

General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality

SummaryThis work is concerned with simultaneous estimation of coefficients and a scale parameter of a p th-order autoregressive process (Xt). The observations are Yt=VtZt+(1-Vt)Xt where (Zt) is a contaminating process and (Vt) represents the proportion of contamination. If (Xt) or (Zt) have heavy tails both least squares estimates and ordinary M-estimates are seriously affected. Under general conditions we prove consistency and asymptotic normality of a general class of M-estimates which contains some M-estimates studied by Denby and Martin [6].

Oscar H. Bustos | O. Bustos

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