\(M\)-estimation for dependent random variables

DOI10.1016/S0167-7152(02)00084-6zbMath0996.62024WikidataQ57816114 ScholiaQ57816114MaRDI QIDQ1613086

Reinhard Furrer

Publication date: 5 September 2002

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

zbMATH Keywords

consistencydependent dataM-estimator

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Estimation in multivariate analysis (62H12) Robustness and adaptive procedures (parametric inference) (62F35)

Cites Work

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• Consistent maximum-likelihood estimation with dependent observations. The general (nonnormal) case and the normal case
• Robust estimation in dependent situations
• Further remarks on robust estimation in dependent situations
• Asymptotics of R-, MD- and LAD-estimators in linear regression models with long range dependent errors
• Minimum distance estimation in linear models with long-range dependent errors
• A general Bahadur representation of \(M\)-estimators and its application to linear regression with nonstochastic designs
• Maximum-Likelihood Estimation of Parameters Subject to Restraints
• Some aspects of generalm-estimation theory for dependent random variables
• General M-estimates for contaminated p th-order autoregressive processes: Consistency and asymptotic normality
• Asymptotics of minimum distance estimator in linear regression models under strong mixing
• Robust Estimation of a Location Parameter
• Robust Statistics

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