Multivariate recursive \(M\)-estimators of location and scatter for dependent sequences

DOI10.1006/JMVA.1993.1038zbMath0773.62035OpenAlexW2038834401MaRDI QIDQ2366549

Jan-Eric Englund

Publication date: 28 October 1993

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1993.1038

zbMATH Keywords

strong convergenceelliptical distributionsrobust estimationdependent sequencesadaptive stochastic approximationscatter matricesadaptive multivariate recursive \(M\)-estimators of locationrecursive estimator of location and scatterstrictly stationary strong mixing sequence

Mathematics Subject Classification ID

Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35) Strong limit theorems (60F15) Sequential estimation (62L12)

Related Items (4)

Selecting an adaptive sequence for computing recursive M-estimators in multivariate linear regression models ⋮ Asymptotic normality of the recursive M-estimators of the scale parameters ⋮ Notes on M-estimation in exponential signal models ⋮ A note on constrained M-estimation and its recursive analog in multivariate linear regression models

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