Recursive M-estimators of location

DOI10.1080/03610928708829501MaRDI QIDQ3765076zbMATH OpenOpenAlexFDO

Authors Ulla Holst

Publication date 1987

Published in Communications in Statistics: Theory and Methods (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/03610928708829501

zbMATH Keywords

robust estimationstochastic approximationstationary processesautoregressive processesnuisance parameternumerical studylocation parameterstrong regularitymedian absolute deviationrecursive M-estimators

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Robustness and adaptive procedures (parametric inference) (62F35) Sequential estimation (62L12)

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Cites work

• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• A limit theorem for the Robbins-Monro approximation
• An Extension of the Robbins-Monro Procedure
• Behavior of robust estimators in the regression model with dependent errors
• Convergence of a recursive robust algorithm with strongly regular observations
• Recursive computation of M-estimates for the parameters of a finite autoregressive process
• Recursive estimation of quantitles using recursive kernel density estimators
• Robust Statistics
• Robust estimation in dependent situations
• Robust estimation via stochastic approximation
• Robust identification

Cited in

(3)

• scientific article; zbMATH DE number 4090588 (Why is no real title available?)
• Multivariate recursive m estimators of location for dependent sequences
• New recursive estimators of the time-average variance constant

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