Qualitative Robustness for Stochastic Processes
Boente, Graciela ; Fraiman, Ricardo ; Yohai, Victor J.
Ann. Statist., Tome 15 (1987) no. 1, p. 1293-1312 / Harvested from Project Euclid
In this paper we generalize Hampel's concept of qualitative robustness of a sequence of estimators to the case of stochastic processes with non-i.i.d. observations, defining appropriate metrics between samples. We also present a different approach to qualitative robustness which formalizes the notion of resistance. We give two definitions based on this approach: strong and weak resistance. We show that for estimating a finite dimensional real parameter, $\pi$-robustness is equivalent to weak resistance and, in the i.i.d. case, is also equivalent to strong resistance. Finally, we prove the strong resistance of a class of estimators which includes common GM-estimates for linear models and autoregressive processes.
Publié le : 1987-09-14
Classification:  Qualitative robustness,  robust estimation,  GM-estimators,  stochastic processes,  autoregressive models,  62F35,  62M10
@article{1176350506,
     author = {Boente, Graciela and Fraiman, Ricardo and Yohai, Victor J.},
     title = {Qualitative Robustness for Stochastic Processes},
     journal = {Ann. Statist.},
     volume = {15},
     number = {1},
     year = {1987},
     pages = { 1293-1312},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176350506}
}
Boente, Graciela; Fraiman, Ricardo; Yohai, Victor J. Qualitative Robustness for Stochastic Processes. Ann. Statist., Tome 15 (1987) no. 1, pp.  1293-1312. http://gdmltest.u-ga.fr/item/1176350506/