Recursive computation of M-estimates for the parameters of a finite autoregressive process
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Publication:1168031
DOI10.1214/aos/1176345785zbMath0492.62076OpenAlexW1970015907MaRDI QIDQ1168031
Publication date: 1982
Published in: The Annals of Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1214/aos/1176345785
robustnessbrief Monte Carlo studyfinite autoregressive processheavy-tailed innovationsrecursive computation of M-estimatesweak dependence properties
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Robustness and adaptive procedures (parametric inference) (62F35) Stochastic approximation (62L20) Sequential estimation (62L12)
Related Items (14)
Asymmetric recursive methods for time series ⋮ Methods for recursive robust estimation of AR parameters ⋮ Truncated stochastic approximation with moving bounds: convergence ⋮ Recursive M-estimators of location ⋮ Recursive parameter estimation: convergence ⋮ Efficient on-line estimation of autoregressive parameters ⋮ Recursive m–test for detection of change ⋮ Adaptive estimation for an extension of the autoregressive time series model ⋮ Rate of convergence of truncated stochastic approximation procedures with moving bounds ⋮ Recursive estimation of quantitles using recursive kernel density estimators ⋮ Unnamed Item ⋮ Convergence of a recursive robust algorithm with strongly regular observations ⋮ Unnamed Item ⋮ Finite-sample performance of alternative estimators for autoregressive models in the presence of outliers
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