Recursive versions Of the algorithm by krasker and welsch

DOI10.1080/07474949108836237zbMath0744.62048OpenAlexW1982934704MaRDI QIDQ3988009

Jan-Eric Englund

Publication date: 28 June 1992

Published in: Sequential Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/07474949108836237

zbMATH Keywords

linear modelsimulationsrobust estimationsymmetry propertiesrecursive algorithmsadaptive stochastic approximation\(GM\)-estimatorsestimation of \(AR\)-parameters

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) Stochastic approximation (62L20)

Related Items (1)

Methods for recursive robust estimation of AR parameters

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