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Variance inequalities for functions of Gaussian variables

✍ Scribed by Christian Houdré; Abram Kagan


Book ID
112712896
Publisher
Springer US
Year
1995
Tongue
English
Weight
290 KB
Volume
8
Category
Article
ISSN
0894-9840

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📜 SIMILAR VOLUMES


Asymptotic variance of M-estimators for
✍ Marc G. Genton 📂 Article 📅 1998 🏛 Elsevier Science 🌐 English ⚖ 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