Template-type: ReDIF-Paper 1.0
Author-Name: Bent Nielsen
Author-Workplace-Name: Nuffield College, Oxford
Author-Email: bent.nielsen@nuffield.ox.ac.uk
Author-Name: Xiyu Jiao
Author-Workplace-Name: Department of Economics, University of Oxford and Mansfield College
Author-Email: xiyu.jiao@mansfield.ox.ac.uk
Title: Asymptotic Analysis of Iterated 1-step Huber-skip M-estimators with Varying Cut-offs 
Abstract: We consider outlier detection algorithms for time series regression based on iterated 1-step Huber-skip M-estimators. This paper analyses the role of varying
cut-offs in such algorithms. The argument involves an asymptotic theory for a new class of weighted and marked empirical processes allowing for estimation errors of
the scale and the regression coefficient.
Keywords: The iterated 1-step Huber-skip M-estimator; Tightness; A fixed point; Poisson approximation to gauge; Weighted and marked empirical processes.

Length: 28 pages
Creation-Date: 2016-08-25
Number: 2016-W08
File-URL: https://www.nuffield.ox.ac.uk/economics/papers/2016/AMISTAT2016Aug24DP.pdf
File-Format: application/pdf
Handle: RePEc:nuf:econwp:1608