Convergence of a recursive robust algorithm with strongly regular observations

DOI10.1016/0304-4149(84)90027-9zbMATH Open0524.62081OpenAlexW1988568785MaRDI QIDQ584871FDOQ584871

Authors: Ulla Holst 

Publication date: 1984

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0304-4149(84)90027-9

zbMATH Keywords

almost sure convergencestationary processstrong regularityadaptive estimatorsminimal asymptotic variance estimatorsrecursive robust estimation algorithms

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Stochastic approximation (62L20)

Cites Work

• Robust Estimation of a Location Parameter
• Title not available (Why is that?)
• Analysis of stochastic approximation schemes with discontinuous and dependent forcing terms with applications to data communication algorithms
• Some Limit Theorems for Random Functions. I
• Robust identification
• Almost sure approximations to the Robbins-Monro and Kiefer-Wolfowitz processes with dependent noise
• Recursive computation of M-estimates for the parameters of a finite autoregressive process
• An Extension of the Robbins-Monro Procedure
• The asymptotic distribution theory of the empiric cdf for mixing stochastic processes
• Some Limit Theorems for Random Functions. II
• Title not available (Why is that?)
• Robust estimation via stochastic approximation
• Approximation Methods which Converge with Probability one

Cited In (2)

• Recursive estimation of quantitles using recursive kernel density estimators
• Recursive M-estimators of location

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