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

Bing Cheng

Statistics & Probability Letters, 1992, vol. 15, issue 5, 339-343

Abstract: 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.

Keywords: Robust; estimators; time; series; analysis (search for similar items in EconPapers)
Date: 1992
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