The strong consistency of M-estimators in linear models

DOI10.1016/0047-259X(84)90069-1zbMath0542.62057OpenAlexW2047847770MaRDI QIDQ795448

Ker-Chau Li, Ching-Shui Cheng

Publication date: 1984

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

Full work available at URL: https://doi.org/10.1016/0047-259x(84)90069-1

zbMATH Keywords

linear modelsinformation matricesmaximum and minimum eigenvaluesscale equivariancestrong consistency of M-estimators

Mathematics Subject Classification ID

Linear regression; mixed models (62J05)

Related Items (8)

A theorem on uniform convergence of stochastic functions with applications ⋮ Asymptotics of M‐estimator in multivariate linear regression models for a class of random errors ⋮ Asymptotic properties of M estimators in classical linear models with φ -mixing random errors ⋮ An exponential inequality and its application to \(M\) estimators in multiple linear models ⋮ Asymptotic property of \(M\) estimator in classical linear models under dependent random errors ⋮ On the Strong Consistency of M-Estimates in Linear Models for Negatively Superadditive Dependent Errors ⋮ Asymptotics of estimating equations under natural conditions. ⋮ Weak linear representation of M-estimaton in GLMs with dependent errors

Cites Work

• Strong consistency of least squares estimates in multiple regression II
• Strong consistency of least squares estimators in linear regression models
• Convergence systems and strong consistency of least squares estimates in regression models
• Asymptotic theory of nonlinear least squares estimation
• Strong consistency of least squares estimators in regression with correlated disturbances
• Asymptotic behavior of M-estimators for the linear model
• Robust regression: Asymptotics, conjectures and Monte Carlo
• On the convergence of sums of independent Banach space valued random variables
• Asymptotic Normality and Consistency of the Least Squares Estimators for Families of Linear Regressions
• Strong consistency of least squares estimates in multiple regression
• Robust Estimation of a Location Parameter
• Least squares estimates in stochastic regression models with applications to identification and control of dynamic systems

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