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On the calculation of minimum variance estimators for unobservable dependent variables

โœ Scribed by I. D. Coope


Publisher
Springer US
Year
1993
Tongue
English
Weight
217 KB
Volume
2
Category
Article
ISSN
0926-6003

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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