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Optimal conditionally unbiased bounded-influence inference in dynamic location and scale models

Mancini, Loriano ; Ronchetti, Elvezio ; Trojani, Fabio

In: Journal of the American Statistical Association, 2005, vol. 100, no. 470, p. 628-641

This paper studies the local robustness of estimators and tests for the conditional location and scale parameters in a strictly stationary time series model. We first derive optimal bounded-influence estimators for such settings under a conditionally Gaussian reference model. Based on these results, optimal bounded-influence versions of the classical likelihood-based tests for parametric...