Type of Publication: | Journal article |
Author: | Beran, Jan |
Year of publication: | 1991 |
Published in: | Journal of the American Statistical Association ; 86 (1991), 415. - pp. 704-708 |
DOI (citable link): | https://dx.doi.org/10.2307/2290401 |
Summary: |
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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Subject (DDC): | 510 Mathematics |
Keywords: | 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. 86(415), pp. 704-708. Available under: doi: 10.2307/2290401
@article{Beran1991estim-18811, title={M estimators of location for Gaussian and related processes with slowly decaying serial correlations}, year={1991}, doi={10.2307/2290401}, number={415}, volume={86}, journal={Journal of the American Statistical Association}, pages={704--708}, author={Beran, Jan} }
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