Robust spectral regression

DOI10.1214/AOS/1176350255MaRDI QIDQ1102682zbMATH OpenOpenAlexFDO

Authors Alexander M. Samarov

Publication date 1987

Published in The Annals of Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1214/aos/1176350255

zbMATH Keywords

spectral densityweighted least squaresregression estimationfrequency domaingeneralized least squaresefficiency robustnessregression spectrumsecond-order stationary processserial correlation correction

Mathematics Subject Classification ID

Linear regression; mixed models (62J05) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Inference from stochastic processes and spectral analysis (62M15)

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(5)

• A theory of robust long-run variance estimation
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• Minimax regression designs for approximately linear models with autocorrelated errors
• One‐step M‐estimators in the linear model, with dependent errors
• Analyzing the impact of regularization on REMSE

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