Doctoral thesis

Robust statistical procedures for location and scale dynamic models with applications to risk management

  • Mancini, Loriano
  • Ronchetti, Elvezio (degree supervisor)
  • Trojani, Fabio (degree committee member)
    03.03.2004

103 p

Thèse de doctorat: Università della Svizzera italiana, 2004 (jury note: Summa cum laude)

English In the first part of the thesis, we study the local robustness of inference procedures of the conditional location and scale parameters in a stationary time series model. We first derive optimal bounded-influence estimators for the parameters of conditional location and scale models under a conditionally Gaussian reference model. Based on these results, optimal bounded-influence versions of... Show more…
Language
  • English
Classification
Economics
License
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Persistent URL
https://susi.usi.ch/usi/documents/317875