Asymptotic variance of M-estimators for
โ
Marc G. Genton
๐
Article
๐
1998
๐
Elsevier Science
๐
English
โ 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