Robust estimates of linear model parameters in noise having a moving average

MaRDI QIDQ1106801zbMATH OpenFDO

Authors V. F. Onishchenko, Alexandre B. Tsybakov

Publication date 1987

Published in Automation and Remote Control (Search for Journal in Brave)

zbMATH Keywords

asymptotic normalityconsistencylinear model parametersmoving averageWhitened M-estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear systems in control theory (93C05) Estimation and detection in stochastic control theory (93E10) Identification in stochastic control theory (93E12)

Review text

Whitened M-estimators, an extension of Huber M-estimators, are proposed for estimating linear model parameters in noise having a moving average. The consistency and asymptotic normality of M-estimators in dependent noise is proved for a shift parameter for one-dimensional regression.

Recommendations

• scientific article; zbMATH DE number 69461
• Robust and consistent estimates of autoregressive-moving average parameters
• Robust estimation in multiple linear regression model with non-Gaussian noise
• Robust estimation in vector autoregressive moving-average models
• scientific article; zbMATH DE number 58357
• scientific article; zbMATH DE number 3974069
• Estimating the parameters of linear regression in an arbitrary noise
• Robust M estimation of parameters in a linear system
• scientific article; zbMATH DE number 3938281

Cited in

(1)

• Asymptotic normality of M-estimates

This page was built for publication: Robust estimates of linear model parameters in noise having a moving average

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q1106801)