Qualitative robustness in time series

Abstract

We consider robust operations in time series. We present a definition and subsequent qualitative analysis of robustness. We also present meaningful definitions of performance criteria, such as the breakdown point and the sensitivity of robust operations. We present some specific classes of robust operations, and we discuss and analyze their properties. Finally, we fully analyze a particular class of robust predictors and interpolators, for a linearly contaminated class of stationary stochastic processes.