Existence, uniqueness and Fréchet differentiability of \(\psi\)-estimates of parameters in stationary observation

DOI10.1016/0167-7152(92)90150-4zbMath0756.62032OpenAlexW2077704654MaRDI QIDQ1202283

Bing Cheng

Publication date: 22 February 1993

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-7152(92)90150-4

zbMATH Keywords

Fréchet differentiabilityexistenceuniquenesstime series analysisrobust estimatorsgeneralized \(M\)-estimatesresidual autocovariance estimatesstationary ergodic measure

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Non-Markovian processes: estimation (62M09)

Cites Work

• Von Mises calculus for statistical functionals
• Uniqueness and Fréchet differentiability of functional solutions to maximum likelihood type equations
• Influence functionals for time series (with discussion)
• Robust Statistics

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