Recursive M-estimators of location

Abstract

This paper deals with recursive M-estimators of a location parameter θ in stationary processes when scale is regarded as a nuisance parameter. For the nonrecursive M-estimators, the median absolute deviation is a useful estimator of scale. Two recursive variants of the median absolute deviation are proposed and the performance of the resulting recursive estimators is examined in a numerical study.

Keywords:

• robust estimation
• stochastic approximation
• strong regularity
• autoregressive processes
• median absolute deviation