Recursive estimators for stationary, strong mixing processes - a representation theorem and asymptotic distributions
DOI10.1016/0304-4149(89)90088-4zbMATH Open0697.62079OpenAlexW2064020296MaRDI QIDQ911200FDOQ911200
Authors: Jan-Eric Englund, Ulla Holst, 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
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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)
Cites Work
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- Behavior of robust estimators in the regression model with dependent errors
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- On the Strong Mixing Property for Linear Sequences
- Almost sure approximations to the Robbins-Monro and Kiefer-Wolfowitz processes with dependent noise
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- Strong convergence of a stochastic approximation algorithm
- M-estimation for discrete data: Asymptotic distribution theory and implications
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Cited In (12)
- Truncated stochastic approximation with moving bounds: convergence
- Recursive parameter estimation: convergence
- Resistant estimators for stationary ergodic stochastic processes.
- 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?)
- Title not available (Why is that?)
- Selecting an adaptive sequence for computing recursive M-estimators in multivariate linear regression models
- Title not available (Why is that?)
- RECURSIVE ESTIMATION IN SWITCHING AUTOREGRESSIONS WITH A MARKOV REGIME
- Rate of convergence of truncated stochastic approximation procedures with moving bounds
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