Existence, uniqueness and Fréchet differentiability of [psi]-estimates of parameters in stationary observation

In this paper, we show the existence, uniqueness and Fréchet differentiability of [psi]-estimates T([mu]):[integral operator]R-[infinity],+[infinity](y,T([mu]))d[mu](y)=0 where [mu] is a stationary ergodic measure on (R-[infinity],+[infinity], B-[infinity],+[infinity] which include M-, generalized M- and RA- (Residual Autocovariance) estimates.

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Year of publication:	1992
Authors:	Cheng, Bing
Published in:	Statistics & Probability Letters. - Elsevier, ISSN 0167-7152. - Vol. 15.1992, 5, p. 339-343
Publisher:	Elsevier
Subject:	Robust estimators time series analysis

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

Persistent link: https://www.econbiz.de/10005138052