Recursive estimators for stationary, strong mixing processes - a representation theorem and asymptotic distributions
DOI10.1016/0304-4149(89)90088-4zbMATH Open0697.62079OpenAlexW2064020296MaRDI QIDQ911200FDOQ911200
Ulla Holst, Jan-Eric Englund, David Ruppert
Publication date: 1989
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/0304-4149(89)90088-4
recursive estimationstationary processesdependent strong mixing sequencesgeneralizations of the Robbins-Monro processlimit theorems for sumsrecursive M-estimators of location and scalesums of possibly dependent random variables
Nonparametric estimation (62G05) Asymptotic distribution theory in statistics (62E20) Stochastic approximation (62L20)
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Cited In (9)
- Truncated stochastic approximation with moving bounds: convergence
- Recursive parameter estimation: convergence
- Efficient on-line estimation of autoregressive parameters
- On the recursive parameter estimation in the general discrete time statistical model
- Methods for recursive robust estimation of AR parameters
- Title not available (Why is that?)
- Selecting an adaptive sequence for computing recursive M-estimators in multivariate linear regression models
- RECURSIVE ESTIMATION IN SWITCHING AUTOREGRESSIONS WITH A MARKOV REGIME
- Rate of convergence of truncated stochastic approximation procedures with moving bounds
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