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Asymptotically gaussian distribution for random perturbations of rotations of the circle

โœ Scribed by M. Denker; M. Gordin


Publisher
Springer US
Year
1999
Tongue
English
Weight
183 KB
Volume
96
Category
Article
ISSN
1573-8795

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Asymptotic variance of M-estimators for
โœ Marc G. Genton ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 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