Infinitesimal Robustness for Diffusions
扩散过程的无穷小稳健性
We develop infinitesimally robust statistical procedures for the general diffusion processes. We first prove the existence and uniqueness of the times-series influence function of conditionally unbiased M-estimators for ergodic and stationary diffusions, under weak conditions on the (martingale) estimating function used. We then characterize the robustness of M-estimators for diffusions and derive a class of conditionally unbiased optimal robust estimators. To compute these…