Limiting Behavior of RecursiveM-Estimators in Multivariate Linear Regression Models

In this paper, several recursive algorithms for computingM-estimates in multivariate linear regression models are discussed. It is shown that the recursiveM-estimators of regression coefficient and scatter parameters are strongly consistent. In particular, the asymptotic normality of the recursiveM-estimators of regression coefficients is established.

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Year of publication:	1996
Authors:	Miao, B. Q. ; Wu, Y.
Published in:	Journal of Multivariate Analysis. - Elsevier, ISSN 0047-259X. - Vol. 59.1996, 1, p. 60-80
Publisher:	Elsevier
Keywords:	M-estimation recursive algorithm robust estimation regression coefficients scatter parameters strong consistency asymptotic normality

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005160327