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Infinitesimal robustness for diffusions

La Vecchia, Davide ; Trojani, Fabio

In: Journal of the american statistical association, 2010, vol. 105, no. 490, p. 703–712

We develop infinitesimally robust statistical procedures for the general diffusion processes. We first prove the existence and uniqueness of the times-series influence function of conditionally unbiased M-estimators for ergodic and stationary diffusions, under weak conditions on the (martingale) estimating function used. We then characterize the robustness of M-estimators for diffusions and...