Recursive versions Of the algorithm by krasker and welsch

DOI10.1080/07474949108836237MaRDI QIDQ3988009zbMATH OpenOpenAlexFDO

Authors Jan-Eric Englund

Publication date 28 June 1992

Published in Sequential Analysis (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/07474949108836237

zbMATH Keywords

\(GM\)-estimatorsadaptive stochastic approximationestimation of \(AR\)-parameterslinear modelrecursive algorithmsrobust estimationsimulationssymmetry properties

Mathematics Subject Classification ID

Robustness and adaptive procedures (parametric inference) (62F35) Linear regression; mixed models (62J05) Stochastic approximation (62L20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10)

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(2)

• Methods for recursive robust estimation of AR parameters
• Crochemore's repetitions algorithm revisited: computing runs

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