R. Douglas Martin

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All published works

Action	Title	Year	Authors
+	Earnings to Price Analysis with mOpt Versus Bisquare Robust Regression	2024	R. Douglas Martin John B. Guerard Daniel Xia
+	Robust Statistics for Portfolio Construction and Analysis	2023	R. Douglas Martin Stoyan V. Stoyanov Kirk Li Mahmoud Shammaa
+	Expected Shortfall Semi-Scale M-Estimator for t-Distributions	2023	Shengyu Zhang R. Douglas Martin
+ PDF Chat	Expected Shortfall Semi-Scale T-Distribution M-Estimator	2023	R. Douglas Martin Shengyu Zhang
+ PDF Chat	Efficient bias robust regression for time series factor models	2022	R. Douglas Martin Daniel Xia
+ PDF Chat	A Hausman Type Test for Differences between Least Squares and Robust Time Series Factor Model Betas	2022	Tatiana A. Maravina R. Douglas Martin
+ PDF Chat	Influence Functions for Risk and Performance Estimators	2021	Shengyu Zhang R. Douglas Martin Anthony Christidis
+	Robust Time Series Factor Models	2021	R. Douglas Martin Daniel Xia
+	Efficient Bias Robust Cross Section Factor Models	2021	R. Douglas Martin Daniel Xia
+	Optimal Bias Robust Regression Psi and Rho Revisited	2021	Kjell Konis R. Douglas Martin
+	Influence Functions for Risk and Performance Estimators	2019	Shengyu Zhang R. Douglas Martin Anthony Christidis
+	Description of Datasets	2018	Ricardo A. Maronna R. Douglas Martin Vı́ctor J. Yohai Matías Salibián‐Barrera
+ PDF Chat	References	2018	Ricardo A. Maronna R. Douglas Martin Vı́ctor J. Yohai Matías Salibián‐Barrera
+ PDF Chat	Index	2018	Ricardo A. Maronna R. Douglas Martin Vı́ctor J. Yohai Matías Salibián‐Barrera
+	Generalized Linear Model for Gamma Distributed Variables via Elastic Net Regularization	2018	Xin Chen Aleksandr Y. Aravkin R. Douglas Martin
+	The Azzalini Skew-t Information Matrix Evaluation and Use for Standard Error Calculations	2018	Chindhanai Uthaisaad R. Douglas Martin
+	Robust Detection of Multivariate Outliers in Asset Returns and Risk Factors Data	2017	Christopher G Green R. Douglas Martin
+	Nonparametric versus Parametric Expected Shortfall	2016	R. Douglas Martin Shengyu Zhang
+	Tests for Differences between Least Squares and Robust Regression Coefficients	2012	Tatiana A. Maravina R. Douglas Martin
+	Robust Portfolio Construction	2009	R. Douglas Martin Andrew Clark Christopher G Green
+	Robust Statistics: Theory and Methods	2006	Ricardo A. Maronna R. Douglas Martin Vı́ctor J. Yohai
+	Description of Data Sets	2006	Ricardo A. Maronna R. Douglas Martin Vı́ctor J. Yohai
+	Linear Regression 2	2006	Ricardo A. Maronna R. Douglas Martin Vı́ctor J. Yohai
+	Linear Regression 1	2006	Ricardo A. Maronna R. Douglas Martin Vı́ctor J. Yohai
+ PDF Chat	Index	2006	Ricardo A. Maronna R. Douglas Martin Vı́ctor J. Yohai
+	Robust Statistics	2006	Ricardo A. Maronna R. Douglas Martin Vı́ctor J. Yohai
+	Outliers, influence functions, and robust portfolio optimization	2002	Marcel Kremer R. Douglas Martin
+	Scalable robust covariance and correlation estimates for data mining	2002	Fatemah Alqallaf Kjell Konis R. Douglas Martin Ruben H. Zamar
+	Scalable robust covariance and correlation estimates for data mining	2002	Fatemah Alqallaf Kjell Konis R. Douglas Martin Ruben H. Zamar
+	Data mining for outliers with robust statistics	2001	R. Douglas Martin
+	Data mining for outliers with robust statistics	2001	R. Douglas Martin
+	Modeling Flat Stretches, Bursts Outliers in Time Series Using Mixture Transition Distribution Models	1996	Nhu D. Le R. Douglas Martin Adrian E. Raftery
+	Modeling Flat Stretches, Bursts, and Outliers in Time Series Using Mixture Transition Distribution Models	1996	Nhu D. Le R. Douglas Martin Adrian E. Raftery
+	Robust Bayesian Model Selection for Autoregressive Processes with Additive Outliers	1996	Nhu D. Le Adrian E. Raftery R. Douglas Martin
+	Robust Bayesian Model Selection for Autoregressive Processes With Additive Outliers	1996	Nhu D. Le Adrian E. Raftery R. Douglas Martin
+ PDF Chat	Bias Robust Estimation of Scale	1993	R. Douglas Martin Ruben H. Zamar
+ PDF Chat	Efficiency-Constrained Bias-Robust Estimation of Location	1993	R. Douglas Martin Ruben H. Zamar
+	Two New Robust Methods for Time Series	1992	A. Gregory Bruce R. Douglas Martin Vı́ctor J. Yohai
+	Bias Robust Estimation of Autoregression Parameters	1991	R. Douglas Martin Vı́ctor J. Yohai
+ PDF Chat	Leave‐<i>K</i>‐Out Diagnostics for Time Series	1990	A. Gregory Bruce R. Douglas Martin
+ PDF Chat	Min-Max Bias Robust Regression	1989	R. Douglas Martin V. J. Yohai Ruben H. Zamar
+ PDF Chat	Efficiency Constrained Bias Robust Estimation of Location	1989	R. Douglas Martin Ruben H. Zamar
+	Leave-<i>K</i>-Out Diagnostics for Time Series	1989	A. Gregory Bruce R. Douglas Martin
+	Asymptotically Min—Max Bias RobustM-Estimates of Scale for Positive Random Variables	1989	R. Douglas Martin Ruben H. Zamar
+	Asymptotically Min-Max Bias Robust M-Estimates of Scale for Positive Random Variables	1989	R. Douglas Martin Ruben H. Zamar
+	Fisher Consistency of Am-Estimates of the Autoregression Parameter Using Hard Rejection Filter Cleaners	1989	R. Douglas Martin V. J. Yohai
+ PDF Chat	[Rank-Based Robust Analysis of Linear Models. I. Exposition and Review]: Comment	1988	R. Douglas Martin
+	Comment	1987	R. Douglas Martin Adrian E. Raftery
+	Non-Gaussian State-Space Modeling of Nonstationary Time Series: Comment: Robustness, Computation, and Non-Euclidean Models	1987	R. Douglas Martin Adrian E. Raftery
+	Robust Preprocessing for Kalman Filtering of Glint Noise	1987	Gary A. Hewer R. Douglas Martin Judith E. Zeh
+	Ordinary and Proper Location M-Estimates for Autoregressive-Moving Average Models	1986	Chin‐Hui Lee R. Douglas Martin
+ PDF Chat	Influence Functionals for Time Series	1986	R. Douglas Martin Vı́ctor J. Yohai
+	Ordinary and proper location <i>M</i>-estimates for autoregressive-moving average models	1986	Chin Hui Lee R. Douglas Martin
+	4 Robustness in time series and estimating ARMA models	1985	R. Douglas Martin Vı́ctor J. Yohai
+	Ordinary and Proper Location M-Estimates for ARMA Models. Revised.	1984	C. H. Lee R. Douglas Martin
+	Small sample behavior of robust stochastic approximation and iterated weighted least squares estimates for location	1984	R. Douglas Martin Daniel M. Goodfellow
+	Gross-Error Sensitivies of GM and RA-Estimates	1984	R. Douglas Martin V. J. Yohai
+	Robust-resistant spectral analysis	1983	R. Douglas Martin
+	The Computation and Use of Robust Smoothers and Data Cleaners for Time Series	1983	R. Douglas Martin
+	Robust estimation of signal parameters with dependent data	1982	R. Douglas Martin
+	The Cramer-Rao Bound and Robust M-Estimates for Autoregressions	1982	R. Douglas Martin
+	The Cramér-Rao bound and robust M-estimates for autoregressions	1982	R. Douglas Martin
+	Robust-resistant spectrum estimation	1982	R. Douglas Martin David J. Thomson
+	CONFIDENCE INTERVALS FOR ROBUST ESTIMATES OF THE FIRST ORDER AUTOREGRESSIVE PARAMETER	1981	Jeffrey B. Birch R. Douglas Martin
+	ROBUST METHODS FOR TIME SERIES††Invited talks delivered at the International Times Series Meeting, Nottingham, England, March 26–30, 1979 and the 2nd Applied Time Series Symp., Tulsa, OK, March 3–5, 1980. This research was supported by NSF Grant SOC 78–09474.	1981	R. Douglas Martin
+	Robust Estimation of Power Spectra	1979	Beat Kleiner R. Douglas Martin David J. Thomson
+	Robust Estimation of the First-Order Autoregressive Parameter	1979	Lorraine Denby R. Douglas Martin
+	Robust Estimation of the First-Order Autoregressive Parameter	1979	Lorraine Denby R. Douglas Martin
+	Robust Estimation for Time Series Autoregressions	1979	R. Douglas Martin
+	Robust bayesian estimation for the linear model and robustifying the Kalman filter	1977	C. Johan Masreliez R. Douglas Martin
+	Robust estimation via stochastic approximation	1975	R. Douglas Martin C. Johan Masreliez
+	Robust detection to stochastic signals (Corresp.)	1974	R. Douglas Martin C. McGath
+	Robust estimation of signal amplitude	1972	R. Douglas Martin
+	Robust detection of a known signal in nearly Gaussian noise	1971	R. Douglas Martin S.C. Schwartz

Common Coauthors

Coauthor	Papers Together
Vı́ctor J. Yohai	13
Ricardo A. Maronna	9
Ruben H. Zamar	8
Adrian E. Raftery	6
Shengyu Zhang	4
Nhu D. Le	4
Daniel Xia	4
Matías Salibián‐Barrera	3
A. Gregory Bruce	3
Kjell Konis	3
V. J. Yohai	3
David J. Thomson	2
Fatemah Alqallaf	2
C. Johan Masreliez	2
Anthony Christidis	2
Christopher G Green	2
Tatiana A. Maravina	2
Lorraine Denby	2
Chin Hui Lee	1
C. McGath	1
S.C. Schwartz	1
Marcel Kremer	1
Mahmoud Shammaa	1
John B. Guerard	1
Daniel M. Goodfellow	1
Judith Zeh	1
Kirk Li	1
Chin‐Hui Lee	1
C. H. Lee	1
Jeffrey B. Birch	1
Chindhanai Uthaisaad	1
Stoyan V. Stoyanov	1
Beat Kleiner	1
Gary A. Hewer	1
Aleksandr Y. Aravkin	1
Xin Chen	1
Shengyu Zhang	1
Andrew Clark	1

Commonly Cited References

Action	Title	Year	Authors	# of times referenced
+ PDF Chat	Robust Estimation of a Location Parameter	1964	Peter J. Huber	30
+	The Influence Curve and its Role in Robust Estimation	1974	Frank R. Hampel	20
+ PDF Chat	A General Qualitative Definition of Robustness	1971	Frank R. Hampel	16
+	Robust Statistics: The Approach Based on Influence Functions	1987	David Ruppert Frank R. Hampel Elvezio Ronchetti Peter J. Rousseeuw Werner A. Stahel	13
+	Robust Estimation of the First-Order Autoregressive Parameter	1979	Lorraine Denby R. Douglas Martin	12
+	Robust Regression by Means of S-Estimators	1984	Peter J. Rousseeuw V. J. Yohai	11
+	Approximate non-Gaussian filtering with linear state and observation relations	1975	C. Johan Masreliez	11
+	Robust Statistics	1981	Peter J. Huber	11
+	Contributions to Probability and Statistics.	1962	W. R. Buckland Harold Hotelling Ingram Olkin	10
+	Robust bayesian estimation for the linear model and robustifying the Kalman filter	1977	C. Johan Masreliez R. Douglas Martin	9
+ PDF Chat	Min-Max Bias Robust Regression	1989	R. Douglas Martin V. J. Yohai Ruben H. Zamar	9
+ PDF Chat	High Breakdown-Point and High Efficiency Robust Estimates for Regression	1987	Vı́ctor J. Yohai	9
+	Outliers in Time Series	1972	Alyson J. Fox	9
+	ROBUST METHODS FOR TIME SERIES††Invited talks delivered at the International Times Series Meeting, Nottingham, England, March 26–30, 1979 and the 2nd Applied Time Series Symp., Tulsa, OK, March 3–5, 1980. This research was supported by NSF Grant SOC 78–09474.	1981	R. Douglas Martin	9
+	Robust-resistant spectrum estimation	1982	R. Douglas Martin David J. Thomson	9
+ PDF Chat	Robustness of Estimators on Stationary Observations	1979	P. Papantoni‐Kazakos Robert M. Gray	7
+	Robust Regression and Outlier Detection	1987	Peter J. Rousseeuw Annick M. Leroy	7
+	A survey of sampling from contaminated distributions	1960	John W. Tukey	7
+	Monitoring Renal Transplants: An Application of the Multiprocess Kalman Filter	1983	A. F. M. Smith Michael L. West	6
+ PDF Chat	Infinitesimal Robustness for Autoregressive Processes	1984	Hans R. Künsch	6
+	The Fitting of Power Series, Meaning Polynomials, Illustrated on Band-Spectroscopic Data	1974	Albert E. Beaton John W. Tukey	6
+	Robust Estimation of Power Spectra	1979	Beat Kleiner R. Douglas Martin David J. Thomson	6
+	Least Median of Squares Regression	1984	Peter J. Rousseeuw	6
+	Robust Statistics	2009	Peter J. Huber Elvezio Ronchetti	6
+	Robust Statistics	2006	Ricardo A. Maronna R. Douglas Martin Vı́ctor J. Yohai	5
+	Robust Estimation for Time Series Autoregressions	1979	R. Douglas Martin	5
+	Optimal Bias Robust M—estimates of Regression	2002	Marcela Svarc Vı́ctor J. Yohai Ruben H. Zamar	5
+ PDF Chat	Robust Regression: Asymptotics, Conjectures and Monte Carlo	1973	Peter J. Huber	5
+	Information Theory and an Extension of the Maximum Likelihood Principle	1998	H. Akaike	5
+	Robust Statistics: The Approach Based on Influence Functions.	1987	Christopher Jennison F. R. Hampel Elvezio Ronchetti Peter J. Rousseeuw Werner A. Stahel	5
+	Robust Estimates for ARMA Models	1986	Oscar H. Bustos Vı́ctor J. Yohai	5
+ PDF Chat	Influence Functionals for Time Series	1986	R. Douglas Martin Vı́ctor J. Yohai	5
+ PDF Chat	General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality	1982	Oscar H. Bustos	5
+	Bayesian Model Monitoring	1986	Mike West	5
+ PDF Chat	Robust $M$-Estimators of Multivariate Location and Scatter	1976	Ricardo A. Maronna	5
+ PDF Chat	Robust Estimation in Dependent Situations	1977	Stephen Portnoy	5
+	Time Series Model Specification in the Presence of Outliers	1986	Ruey S. Tsay	4
+	Robust Estimation of the First-Order Autoregressive Parameter	1979	Lorraine Denby R. Douglas Martin	4
+	Robust Statistical Procedures.	1978	Robert V. Hogg Peter J. Huber	4
+	Multivariate Estimation with High Breakdown Point	1985	Peter J. Rousseeuw	4
+ PDF Chat	On Some Robust Estimates of Location	1965	Peter J. Bickel	4
+	4 Robustness in time series and estimating ARMA models	1985	R. Douglas Martin Vı́ctor J. Yohai	4
+	Dynamic Generalized Linear Models and Bayesian Forecasting	1985	Mike West P. J. Harrison Hélio S. Migon	4
+	Robust estimation of signal amplitude	1972	R. Douglas Martin	4
+ PDF Chat	Estimating the Dimension of a Model	1978	Gideon Schwarz	4
+	Asymptotically Min—Max Bias RobustM-Estimates of Scale for Positive Random Variables	1989	R. Douglas Martin Ruben H. Zamar	4
+	Efficient Bounded-Influence Regression Estimation	1982	William S. Krasker Roy E. Welsch	4
+	High Breakdown-Point Estimates of Regression by Means of the Minimization of an Efficient Scale	1988	Vı́ctor J. Yohai Ruben H. Zamar	4
+	Robust estimation via stochastic approximation	1975	R. Douglas Martin C. Johan Masreliez	4
+	Outliers, level shifts, and variance changes in time series	1988	Ruey S. Tsay	3