Sinha, Sanjoy K.; Field, Christopher A.; Smith, Bruce - In: Statistics & Probability Letters 63 (2003) 1, pp. 49-59
Generalized M (or GM) estimation has been extended to the case of a nonlinear regression model with autoregressive and heteroscedastic errors. The robustness properties of the GM estimators have been investigated based on the time-series analog of Hampel's influence function. The asymptotic...