Convergence of a recursive robust algorithm with strongly regular observations

Robust estimation of parameters may be obtained via stochastic approximation algorithms. This paper deals with the properties of a recursive estimator of a location parameter in a stationary strongly regular process. Adaptive estimators of particular interest are also studied.

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Year of publication:	1984
Authors:	Holst, Ulla
Published in:	Stochastic Processes and their Applications. - Elsevier, ISSN 0304-4149. - Vol. 16.1984, 3, p. 305-320
Publisher:	Elsevier
Keywords:	stochastic approximation strong regularity robust estimation

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008874742