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Robust statistical procedures for location and scale dynamic models with applications to risk management

Mancini, Loriano ; Ronchetti, Elvezio (Dir.) ; Trojani, Fabio (Codir.)

Thèse de doctorat : Università della Svizzera italiana, 2004 ; 2004ECO001.

In the first part of the thesis, we study the local robustness of inference procedures of the conditional location and scale parameters in a stationary time series model. We first derive optimal bounded-influence estimators for the parameters of conditional location and scale models under a conditionally Gaussian reference model. Based on these results, optimal bounded-influence versions of the...