Recursive estimators for stationary, strong mixing processes - a representation theorem and asymptotic distributions

DOI10.1016/0304-4149(89)90088-4MaRDI QIDQ911200zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

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

Mathematics Subject Classification ID

Nonparametric estimation (62G05) Asymptotic distribution theory in statistics (62E20) Stochastic approximation (62L20)

Recommendations

• scientific article; zbMATH DE number 4090588
• scientific article; zbMATH DE number 3958492
• Multivariate recursive \(M\)-estimators of location and scatter for dependent sequences
• Asymptotic normality of recursive estimators under strong mixing conditions
• Multivariate recursive m estimators of location for dependent sequences

Cites work

• scientific article; zbMATH DE number 3890493 (Why is no real title available?)
• scientific article; zbMATH DE number 3864328 (Why is no real title available?)
• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• scientific article; zbMATH DE number 4090588 (Why is no real title available?)
• scientific article; zbMATH DE number 3484411 (Why is no real title available?)
• A maximal inequality and dependent strong laws
• Almost sure approximations to the Robbins-Monro and Kiefer-Wolfowitz processes with dependent noise
• Behavior of robust estimators in the regression model with dependent errors
• M-estimation for discrete data: Asymptotic distribution theory and implications
• On asymptotically efficient recursive estimation
• On the Strong Mixing Property for Linear Sequences
• Robust Statistics
• Strong convergence of a stochastic approximation algorithm
• The behavior of robust estimators on dependent data

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
• scientific article; zbMATH DE number 440433 (Why is no real title available?)
• scientific article; zbMATH DE number 4090588 (Why is no real title available?)
• Selecting an adaptive sequence for computing recursive M-estimators in multivariate linear regression models
• scientific article; zbMATH DE number 3958492 (Why is no real title available?)
• RECURSIVE ESTIMATION IN SWITCHING AUTOREGRESSIONS WITH A MARKOV REGIME
• Rate of convergence of truncated stochastic approximation procedures with moving bounds

This page was built for publication: Recursive estimators for stationary, strong mixing processes - a representation theorem and asymptotic distributions

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q911200)