Ordinary and proper location M -estimates for autoregressive-moving average models
自回归移动平均模型的普通与似然型位置M估计
Proper location M-estimates for a model with non-Gaussian autoregressive-moving average type errors are genuine maximum likelihood type estimates, whereas ordinary location M-estimates are those introduced by P. Huber for independent and identically distributed errors. The relative behaviour of ordinary location M-estimates and proper location M-estimates is studied for situations with dependent errors of purely autoregress ive and purely moving average type. It is shown…