Least squares estimator of fractional Ornstein–Uhlenbeck processes with periodic mean

Least squares detection of multiple changes in fractional ARIMA processes

We address the problem of estimating changes in fractional integrated ARMA (FARIMA) processes. These changes may be in the Long Range Dependence (LRD) parameter or the ARMA parameters. The signal is divided into “elementary” segments: the objective is then to estimate the segments in which the changes occur. This estimation is achieved by minimizing a penalized least-squares criterion based on ...

Computing the Least Median of Squares Estimator

In modern statistics, the robust estimation of parameters of a regression hyperplane is a central problem, i. e., an estimation that is not or only slightly affected by outliers in the data. In this paper we will consider the least median of squares (LMS) estimator. For n points in d dimensions we describe a randomized algorithm for LMS running in O ( nd ) time and O(n) space, for d fixed, and ...

The Multivariate Least Trimmed Squares Estimator

In this paper we introduce the least trimmed squares estimator for multivariate regression. We give three equivalent formulations of the estimator and obtain its breakdown point. A fast algorithm for its computation is proposed. We prove Fisherconsistency at the multivariate regression model with elliptically symmetric error distribution and derive the influence function. Simulations investigat...

Coarse-to-Fine Least Squares Motion Estimator

The Numerical Generalized Least-Squares Estimator of an Unknown Constant Mean of Random Field

We constraint on computer the best linear unbiased generalized statistics of random field for the best linear unbiased generalized statistics of an unknown constant mean of random field and derive the numerical generalized least-squares estimator of an unknown constant mean of random field. We derive the third constraint of spatial statistics and show that the classic generalized least-squares ...