Mancini, Loriano; Ronchetti, Elvezio; Trojani, Fabio - Institut d'Economie et Econométrie, Université de Genève - 2004
This paper studies the local robustness of estimators and tests for the conditional location and scale parameters in a strictly stationary time series model. We first derive optimal bounded-influence estimators for such settings under a conditionally Gaussian reference model. Based on these...