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Polynomial Parameter Estimations of Close to Gaussian Random Variables

โœ Scribed by Jordan Stoyanov


Book ID
111038120
Publisher
John Wiley and Sons
Year
2005
Tongue
English
Weight
119 KB
Volume
168
Category
Article
ISSN
0964-1998

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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