The Informati Matrix and Robust
نویسنده
چکیده
This paper discusses the stochastic process structure of certain differential transformations (OTis) associated with perfectly observed ARMA processes and uses DT's to obtain the asymptotic information matrix for possibly non-Gaussian situations. The DT's can also be applied to implement approximate M-estimate algorithms for the ARMA model parameters. M-estimates yield asymptotic efficieQcy robustness for perfectly observed ARMA processes. Both asymptotic efficiency results and some finite~sample Monte Carlo results are presented. IC.H. Lee is y th the Verbex Corporation, Bedford, of both authors was s the National Science
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