We study the properties of the quasi-maximum likelihood estimator (QMLE) and related test statistics in dynamic models that jointly parameterize conditional means and conditional covariances, when a normal log-likelihood is maximized but the assumption of normality is violated. Because the score of the normal log-likelihood has the martingale difference property when the first two conditional m...

The Pareto distribution is often used in many areas of economics to model the right tail of heavytailed distributions. However, the standard method of estimating the shape parameter (the Pareto index) of this distribution– the maximum likelihood estimator (MLE) – is non-robust, in the sense that it is very sensitive to extreme observations, data contamination or model deviation. In recent years...

Fuzzification of support vector machine has been utilized to deal with outlier and noise problem. This importance is achieved, by the means of fuzzy membership function, which is generally built based on the distance of the points to the class centroid. The focus of this research is twofold. Firstly, by taking the advantage of robust statistics in the fuzzy SVM, more emphasis on reducing the im...

In this paper we address the problem of estimating the horizontal vanishing line, making use of motion statistics derived from a video sequence. The computation requires the satisfying of a number of corresponding object’s height measurement; and in our approach these are extracted using motion statistics. These easy-to-compute statistics enable accurate determination of average shape of every ...

I propose two simple variable addition test statistics for three tests of the specification of high-frequency predictors in a model to forecast a series observed at a lower frequency. The first is similar to existing test statistics and I show that it is robust to biased forecasts, integrated and cointegrated predictors, and deterministic trends, while it is feasible and consistent even if esti...

A strategy for filtering (or denoising) of high-pass signals embedded in an impulse (heavy tail) noise environments based on the robust DFT forms has been proposed recently. In this paper we investigate various approaches for design of the robust DFT used in this application. We consider the DFT estimates based on the: linear combination of order statistics (L-estimate), myriad, and Wilcoxon es...