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December, 1979 Robustness of Estimators on Stationary Observations
P. Papantoni-Kazakos, Robert M. Gray
Ann. Probab. 7(6): 989-1002 (December, 1979). DOI: 10.1214/aop/1176994892

Abstract

Hampel's general qualitative definition of robustness of sequences of estimators on memoryless observation processes is generalized to stationary ergodic processes by substituting the generalized Ornstein (or $\bar{\phi}$) distance for the marginal Prohorov distance as the measure of "closeness" of observations. More general sequences of estimators are also allowed. The approach yields results analogous to those of Hampel for the more general case considered, often provides strict generalizations of Hampel's results, and in some cases yields simpler proofs.

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P. Papantoni-Kazakos. Robert M. Gray. "Robustness of Estimators on Stationary Observations." Ann. Probab. 7 (6) 989 - 1002, December, 1979. https://doi.org/10.1214/aop/1176994892

Information

Published: December, 1979
First available in Project Euclid: 19 April 2007

zbMATH: 0426.62021
MathSciNet: MR548893
Digital Object Identifier: 10.1214/aop/1176994892

Subjects:
Primary: 62G35
Secondary: 60B05, 60H99

Rights: Copyright © 1979 Institute of Mathematical Statistics

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Vol.7 • No. 6 • December, 1979
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