Asymptotic normality of M-estimates
type: Item
instance of: scholarly article
title: Asymptotic normality of M-estimates
zbMATH Open document ID: 0684.93074
author: V. F. Onishchenko
author: Alexandre B. Tsybakov
published in: Automation and Remote Control
publication date: 1987-01-01T00:00:00Z
review text: The paper is a continuation of a study begun by the authors [Avtom. Telemekh. 1987, No.6, 87-99 (1987; Zbl 0651.93059); English translation in Autom. Remote Control. 48, No.6, 779-789 (1987)], where conditions of consistency of whitened M-estimates was obtained. In this paper, under general assumptions concerning the error distribution and the input vectors of the model, the asymptotic normality of whitened M-estimates is proved and their asymptotic efficiency and robustness is studied. It is also shown that in the case of dependent errors of sliding-mean type the M-estimates are less efficient than whitened M-estimates.
Mathematics Subject Classification ID: 93E10
Mathematics Subject Classification ID: 93C05
Mathematics Subject Classification ID: 93C55
zbMATH DE Number: 4121896
zbMATH Keywords: whitened M-estimates
zbMATH Keywords: asymptotic normality
zbMATH Keywords: asymptotic efficiency
zbMATH Keywords: robustness
MaRDI profile type: Publication
description: scientific article; zbMATH DE number 4121896