One‐step M‐estimators in the linear model, with dependent errors
Publication:4311480
DOI10.2307/3315585zbMath0801.62034MaRDI QIDQ4311480
Publication date: 30 November 1994
Published in: Canadian Journal of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.2307/3315585
simulation; asymptotic normality; mean squared error; bias; dependence; transformed model; regression estimates; weakly stationary; L1-estimator; coverage probabilities of confidence intervals; robust \(M\)-estimation; autocorrelation parameters; Huber-type \(M\)-estimators; one-step \(M\)-estimates; time series of finite length
62F12: Asymptotic properties of parametric estimators
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62J05: Linear regression; mixed models
62F35: Robustness and adaptive procedures (parametric inference)
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