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Asymptotic properties of polynomials in Gaussian random variables

✍ Scribed by B. V. Agafontsev; V. I. Bogachev

Book ID
111454969
Publisher
SP MAIK Nauka/Interperiodica
Year
2009
Tongue
English
Weight
188 KB
Volume
80
Category
Article
ISSN
1064-5624

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πŸ“œ SIMILAR VOLUMES

Asymptotic variance of M-estimators for
Asymptotic variance of M-estimators for dependent Gaussian random variables
✍ Marc G. Genton πŸ“‚ Article πŸ“… 1998 πŸ› Elsevier Science 🌐 English βš– 313 KB

This paper discusses the asymptotic behavior of M-estimators for dependent Gaussian random variables. We show that for a Gaussian distribution, the asymptotic variance of an M-estimator of scale is minimal in the independent case and must necessarily increase for dependent data. This is not true for