Asymptotic normality of M-estimates (Q1825844)

The paper is a continuation of a study begun by the authors [Avtom. Telemekh. 1987, No.6, 87-99 (1987; Zbl 0651.93059); English translation in Autom. Remote Control. 48, No.6, 779-789 (1987)], where conditions of consistency of whitened M-estimates was obtained. In this paper, under general assumptions concerning the error distribution and the input vectors of the model, the asymptotic normality of whitened M-estimates is proved and their asymptotic efficiency and robustness is studied. It is also shown that in the case of dependent errors of sliding-mean type the M-estimates are less efficient than whitened M-estimates.