Publikation: M estimators of location for Gaussian and related processes with slowly decaying serial correlations
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1991
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Journal of the American Statistical Association. 1991, 86(415), pp. 704-708. Available under: doi: 10.2307/2290401
Zusammenfassung
We investigate the behavior of M estimators of the location parameter for stochastic processes with long-range dependence. The processes considered are Gaussian or one-dimensional transformations of Gaussian processes. It turns out that, up to a constant, all M estimators are asymptotically equivalent to the arithmetic mean. For Gaussian processes this constant is always equal to one, independently of the ψ function. In view of the case of iid observations, the results are surprising. They are related to earlier work by Gastwirth and Rubin. Some simulations illustrate the results.
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Fachgebiet (DDC)
510 Mathematik
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Arithmetic mean, Fractional Gaussian Noise, Long-Range dependence, Self-similar
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BERAN, Jan, 1991. M estimators of location for Gaussian and related processes with slowly decaying serial correlations. In: Journal of the American Statistical Association. 1991, 86(415), pp. 704-708. Available under: doi: 10.2307/2290401BibTex
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year={1991},
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title={M estimators of location for Gaussian and related processes with slowly decaying serial correlations},
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volume={86},
journal={Journal of the American Statistical Association},
pages={704--708},
author={Beran, Jan}
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