Convergence of a recursive robust algorithm with strongly regular observations

Ulla Holst

Stochastic Processes and their Applications, 1984, vol. 16, issue 3, 305-320

Abstract: 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.

Keywords: stochastic; approximation; strong; regularity; robust; estimation (search for similar items in EconPapers)
Date: 1984
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