Recursive M-estimators of location

DOI10.1080/03610928708829501zbMath0628.62082OpenAlexW2050367484MaRDI QIDQ3765076

Ulla Holst

Publication date: 1987

Published in: Communications in Statistics - Theory and Methods (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610928708829501

zbMATH Keywords

stochastic approximationstrong regularitynuisance parameterautoregressive processesstationary processesrobust estimationlocation parameternumerical studymedian absolute deviationrecursive M-estimators

Mathematics Subject Classification ID

Non-Markovian processes: estimation (62M09) Robustness and adaptive procedures (parametric inference) (62F35) Sequential estimation (62L12)

Cites Work

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• Convergence of a recursive robust algorithm with strongly regular observations
• Robust identification
• Recursive computation of M-estimates for the parameters of a finite autoregressive process
• Robust estimation in dependent situations
• Behavior of robust estimators in the regression model with dependent errors
• Recursive estimation of quantitles using recursive kernel density estimators
• Robust estimation via stochastic approximation
• An Extension of the Robbins-Monro Procedure
• A limit theorem for the Robbins-Monro approximation
• Robust Statistics

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