On the robust estimation of the regression coefficients of random processes with singular spectrum (Q2703337)
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scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | On the robust estimation of the regression coefficients of random processes with singular spectrum |
scientific article |
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1 March 2001
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robust estimation
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regression coefficients
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random processes
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singular spectrum
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0.90659815
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0.89193296
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On the robust estimation of the regression coefficients of random processes with singular spectrum (English)
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This article deals with properties of robust estimates of the regression coefficients of time series with continuous time and singular spectrum. The author proves that under some conditions robust estimates are asymptotically normal with the same normalization as the least squares estimates. The ratio of the asymptotic variances of robust and least square estimates is equal to identity. The loss function \(\psi(u)=|u|^{\beta}\), \(\beta>2\), for robust estimates is considered.
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