Limiting behavior of recursive M-estimators in multivariate linear regression models

DOI10.1006/JMVA.1996.0054zbMATH Open0866.62009OpenAlexW2157029526MaRDI QIDQ1817489FDOQ1817489

Authors: Baiqi Miao, Yuehua Wu 

Publication date: 31 July 1997

Published in: Journal of Multivariate Analysis (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1006/jmva.1996.0054

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zbMATH Keywords

asymptotic normalitystrong consistencyrobust estimationrecursive algorithmsregression coefficients\(M\)-estimatesmultivariate linear regression modelsscatter parameters

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05) Estimation in multivariate analysis (62H12)

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• Finite computation of the \(\ell_1\) estimator from Huber's \(M\)-estimator in linear regression
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• Limiting behavior of recursive M-estimators in multivariate linear regression models and their asymptotic efficiencies
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