Robust spectral regression
type: Item
instance of: scholarly article
title: Robust spectral regression
zbMATH Open document ID: 0644.62095
author: Alexander M. Samarov
published in: The Annals of Statistics
publication date: 1987-01-01T00:00:00Z
review text: Let \(y_ t=x'_ t\beta +u_ t\), \(t\in Z^ 1\), where the disturbances \(u_ t\) follow a second-order stationary process with E \(u_ t=0\). The spectral density f(\(\lambda)\) of a process \(u_ t\) is unknown but belongs to a neighborhood of some special spectral density \(f_ 0(\lambda)\). Using methods developed in robust statistics, the problem of the efficiency of linear (in the y's) estimators of \(\beta\) is considered.
Mathematics Subject Classification ID: 62M10
Mathematics Subject Classification ID: 62F35
Mathematics Subject Classification ID: 62J05
Mathematics Subject Classification ID: 62M15
zbMATH DE Number: 4050819
zbMATH Keywords: regression estimation
zbMATH Keywords: serial correlation correction
zbMATH Keywords: frequency domain
zbMATH Keywords: weighted least squares
zbMATH Keywords: regression spectrum
zbMATH Keywords: efficiency robustness
zbMATH Keywords: generalized least squares
zbMATH Keywords: second-order stationary process
zbMATH Keywords: spectral density
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1214/aos/1176350255
OpenAlex ID: W2029312790
DOI: 10.1214/AOS/1176350255
description: scientific article; zbMATH DE number 4050819