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A simple robust estimator of correlations for Gaussian stationary random sequences. (English) Zbl 0857.62084

Summary: The paper deals with a robust estimation of correlations for a Gaussian stationary sequence. The investigated estimator is based on signs of the original series and is easy to compute. The asymptotic normality of the estimator and the boundedness of the influence functional under the assumption of the pure replacement outlier model have been proved. A consistent estimate of the variance of the asymptotic distribution has been sugested.

MSC:

62M09 Non-Markovian processes: estimation
62F35 Robustness and adaptive procedures (parametric inference)
62F12 Asymptotic properties of parametric estimators
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References:

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