Asymptotic variance of M-estimators for dependent Gaussian random variables

DOI10.1016/S0167-7152(98)00026-1MaRDI QIDQ1265971zbMATH OpenFDO

Authors Marc G. Genton

Publication date 15 March 1999

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-7152(98)00026-1

zbMATH Keywords

\(M\)-estimatorsasymptotic efficiencyasymptotic variancedependent datalocationmedian estimatorrobustnessscaleWelsch estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12)

Recommendations

• \(M\)-estimation for dependent random variables
• The asymptotic behaviour of a class ofL-estimators under long-range dependence
• scientific article; zbMATH DE number 19005
• Local \(M\)-estimation for conditional variance function with dependent data

Cites work

• Correlations of functions of normal variables
• Further remarks on robust estimation in dependent situations
• General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• scientific article; zbMATH DE number 4102349 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• scientific article; zbMATH DE number 3336465 (Why is no real title available?)
• Mixing: Properties and examples
• Robust estimation in dependent situations
• Robust Estimation of a Location Parameter
• Robust Statistics
• Sample functions of the Gaussian process
• The 1972 Wald Lecture Robust Statistics: A Review
• The behavior of robust estimators on dependent data
• The change-of-variance function of \(M\)-estimators of scale under general contamination

Cited in

(5)

• Robustness properties of dispersion estimators
• scientific article; zbMATH DE number 7108251 (Why is no real title available?)
• Asymptotic Relative Efficiency and Exact Variance Stabilizing Transformation for the Generalized Gaussian Distribution
• The change-of-variance function: A tool to explore the effects of dependencies in spatial statistics
• Efficient and robust scale estimation for trended time series

This page was built for publication: Asymptotic variance of \(M\)-estimators for dependent Gaussian random variables

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1265971)