One‐step M‐estimators in the linear model, with dependent errors

DOI10.2307/3315585zbMath0801.62034MaRDI QIDQ4311480

C. A. Field, Douglas P. Wiens

Publication date: 30 November 1994

Published in: Canadian Journal of Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/3315585

zbMATH Keywords

simulation; asymptotic normality; mean squared error; bias; dependence; transformed model; regression estimates; weakly stationary; L1-estimator; coverage probabilities of confidence intervals; robust \(M\)-estimation; autocorrelation parameters; Huber-type \(M\)-estimators; one-step \(M\)-estimates; time series of finite length

Mathematics Subject Classification ID

62F12: Asymptotic properties of parametric estimators

62M10: Time series, auto-correlation, regression, etc. in statistics (GARCH)

62J05: Linear regression; mixed models

62F35: Robustness and adaptive procedures (parametric inference)

Related Items

Asymptotic Properties of One-Step Weighted $M$-Estimators with Applications to Regression, The asymptotics for studentized K-Step M-Estimators of location, Asymptotic properties of one-step M-estimators, Confidence intervals based on robust regression, Asymptotic normality of one-step \(M\)-estimators based on non-identically distributed observations, Noise benefits to robust M-estimation of location in dependent observations, Applied regression analysis bibliography update 1994-97

Uses Software

• nlmdl

Cites Work

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