Asymptotics for Redescending M-estimators in Linear Models with Increasing Dimension

DOI10.5705/SS.202016.0549MaRDI QIDQ5226623zbMATH OpenOpenAlexFDO

Authors Ezequiel Smucler

Publication date 1 August 2019

Published in STATISTICA SINICA (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1612.05951, https://semanticscholar.org/paper/52e24bfb972cc118c96a24485f9d7e8885c6a36b

zbMATH Keywords

M-estimatorsMM-estimatorsrobust regressionS-estimators

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35) Linear regression; mixed models (62J05)

Abstract: This paper deals with the asymptotic statistical properties of a class of redescending M-estimators in linear models with increasing dimension. This class is wide enough to include popular high breakdown point estimators such as S-estimators and MM-estimators, which were not covered by existing results in the literature. We prove consistency assuming only that $p/nightarrow0$ and asymptotic normality essentially if $p^3/nightarrow0$, where $p$ is the number of covariates and $n$ is the sample size.

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Cited in

(11)

• Limiting behavior of \(M\)-estimators of regression coefficients in high dimensional linear models. I: Scale-dependent case. II: Scale-invariant case
• On parameters of increasing dimensions
• A robust spline approach in partially linear additive models
• Quantile estimation for a selected normal population
• scientific article; zbMATH DE number 2102888 (Why is no real title available?)
• scientific article; zbMATH DE number 4186915 (Why is no real title available?)
• Nonconcave penalized M-estimation for the least absolute relative errors model
• Limiting behavior of recursive M-estimators in multivariate linear regression models and their asymptotic efficiencies
• Asymptotic breakdown point analysis for a general class of minimum divergence estimators
• The half-quadratic approach for high-dimensional robust M-estimation
• Kernel mode-based varying coefficient models with nonstationary regressors

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