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- W2009443409 abstract "A Cramér-Rao lower bound is computed for estimates of the location, innovations scale and autoregressive parameters for a finite-variance pth-order autoregression. The implication of the bound is that the usual least-squares estimates of all of these parameters have asymptotically the same lack of efficieney robustness toward heavy-tailed innovations distributions as does the sample mean for estimating location. On the other hand, autoregression analogues of Huber's regression M-estimates, with the location estimate obtained from the intercept and autoregressive parameter estimates, are shown to be efficiency robust. The location estimate is also shown to be minimax robust." @default.
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- W2009443409 date "1982-01-01" @default.
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- W2009443409 title "The Cramér-Rao bound and robust M-estimates for autoregressions" @default.
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- W2009443409 doi "https://doi.org/10.1093/biomet/69.2.437" @default.
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