Asymptotic normality of the recursive M-estimators of the scale parameters

DOI10.1007/S10463-006-0051-YzbMATH Open1332.62106OpenAlexW2161637756MaRDI QIDQ995799FDOQ995799

Authors: Baiqi Miao, Yuehua Wu, Qian Tong, Dong-Hai Liu 

Publication date: 10 September 2007

Published in: Annals of the Institute of Statistical Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10463-006-0051-y

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zbMATH Keywords

asymptotic normalitystrong consistencyM-estimationrecursive algorithmrobust estimationdiffusion processmultivariate linear regression modelscatter parameter

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Robustness and adaptive procedures (parametric inference) (62F35) Paired and multiple comparisons; multiple testing (62J15)

Cites Work

• The elements of statistical learning. Data mining, inference, and prediction
• Robust m-estimators of multivariate location and scatter
• One-Step Huber Estimates in the Linear Model
• Weak convergence of recursions
• Limiting behavior of recursive \(M\)-estimators in multivariate linear regression models
• Title not available (Why is that?)
• Title not available (Why is that?)
• Multivariate recursive \(M\)-estimators of location and scatter for dependent sequences
• Title not available (Why is that?)

Cited In (9)

• Title not available (Why is that?)
• Exact inference on scaling parameters in norm and antinorm contoured sample distributions
• Title not available (Why is that?)
• A note on constrained M-estimation and its recursive analog in multivariate linear regression models
• Notes on M-estimation in exponential signal models
• Title not available (Why is that?)
• Conditions of Asymptotic Normality of One-Step M-Estimators
• Recursive M-estimators of location
• Asymptotic properties on high-dimensional multivariate regression M-estimation

Uses Software

• ElemStatLearn

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