Accession Number : ADA186292

Title :   Recursive M-Estimators of Location and Scale for Dependent Sequences,

Corporate Author : NORTH CAROLINA UNIV AT CHAPEL HILL CENTER FOR STOCHASTIC PROCESSES

Personal Author(s) : Englund, Jan-Eric ; Holst, Ulla ; Ruppert, David

PDF Url : ADA186292

Report Date : Nov 1986

Pagination or Media Count : 21

Abstract : Recursive M-estimators of location and scale may be obtained via stochastic approximation algorithms. We consider the case when the observations can be described by a strictly stationary process satisfying certain strong mixing conditions and results on strong convergence are given. The asymptotic distributions of the estimators for sequences of independent observations are also discussed.

Descriptors :   *ESTIMATES, *STATISTICAL DISTRIBUTIONS, ALGORITHMS, APPROXIMATION(MATHEMATICS), ASYMPTOTIC SERIES, STATIONARY, STOCHASTIC PROCESSES, SEQUENCES(MATHEMATICS), CONVERGENCE

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE