Multivariate recursive m estimators of location for dependent sequences

DOI10.1080/07474948908836183MaRDI QIDQ3830374zbMATH OpenOpenAlexFDO

Authors Jan-Eric Englund

Publication date 1989

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474948908836183

zbMATH Keywords

adaptive multivariate recursive M- estimator of locationadaptive stochastic approximationalmost sure convergenceasymptotic normalityelliptically distributed observationsindependent observationsrobust estimationstrictly stationary sequencestrong convergencestrong mixing conditions

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Robustness and adaptive procedures (parametric inference) (62F35) Estimation in multivariate analysis (62H12) Sequential estimation (62L12) Stochastic approximation (62L20)

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Cites work

• A maximal inequality and dependent strong laws
• An Extension of the Robbins-Monro Procedure
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• scientific article; zbMATH DE number 4086905 (Why is no real title available?)
• On Asymptotic Normality in Stochastic Approximation
• On Dvoretzky's Stochastic Approximation Theorem
• Robust estimation via stochastic approximation
• Robust Statistics

Cited in

(4)

• Multivariate recursive M-estimators of location and scatter for dependent sequences
• Selecting an adaptive sequence for computing recursive M-estimators in multivariate linear regression models
• scientific article; zbMATH DE number 4090588 (Why is no real title available?)
• Recursive estimators for stationary, strong mixing processes - a representation theorem and asymptotic distributions

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