Robust spectral regression

DOI10.1214/aos/1176350255zbMath0644.62095OpenAlexW2029312790MaRDI QIDQ1102682

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

frequency domainspectral densitygeneralized least squaressecond-order stationary processregression estimationweighted least squaresefficiency robustnessregression spectrumserial correlation correction

Mathematics Subject Classification ID

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

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