The analysis of marked and weighted empirical processes of estimated residuals
An extended and improved theory is presented for marked and weighted empirical processes of residuals of time series regressions. The theory is motivated by 1-step Huber-skip estimators, where a set of good observations are selected using an initial estimator and an updated estimator is found by app...
| Auteurs principaux: | , , |
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| Format: | Working paper |
| Publié: |
University of Oxford
2019
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