Recursive computation of M-estimates for the parameters of a finite autoregressive process
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Publication:1168031
DOI10.1214/aos/1176345785zbMath0492.62076MaRDI QIDQ1168031
Publication date: 1982
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176345785
robustness; brief Monte Carlo study; finite autoregressive process; heavy-tailed innovations; recursive computation of M-estimates; weak dependence properties
62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)
62F35: Robustness and adaptive procedures (parametric inference)
62L20: Stochastic approximation
62L12: Sequential estimation
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