Sample heterogeneity and M-estimation

DOI10.1016/S0378-3758(00)00174-9MaRDI QIDQ5931392zbMATH OpenFDO

Authors Marc Hallin, Ivan Mizera

Publication date 31 July 2001

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0378-3758(00)00174-9

zbMATH Keywords

heteroscedasticityrobustnessweak consistencylocation modelsample heterogeneity

Mathematics Subject Classification ID

Point estimation (62F10) Asymptotic properties of parametric estimators (62F12) Central limit and other weak theorems (60F05) Robustness and adaptive procedures (parametric inference) (62F35)

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Cites work

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• scientific article; zbMATH DE number 3288812 (Why is no real title available?)
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• A Note on Order Statistics for Heterogeneous Distributions
• Asymptotic Normality of Sample Quantiles for m-Dependent Processes
• Asymptotic behaviour of M-estimators in AR(p) models under nonstandard conditions
• Asymptotic methods in statistical decision theory
• Asymptotics for L₁‐estimators of regression parameters under heteroscedasticityY
• Convergence of reduced empirical and quantile processes with application to functions of order statistics in the non-I.I.D. case
• Limiting distributions for \(L_1\) regression estimators under general conditions
• Necessary and sufficient conditions for weak consistency of the median of independent but not identically distributed random variables
• On the Distribution of the Number of Successes in Independent Trials
• Regression Depth
• Robust Estimation of a Location Parameter
• The Effect of Sample Heterogeneity on Linear Functions of Order Statistics, with Applications to Robust Estimation

Cited in

(4)

• Marc Hallin: a commented bibliography (from 1972 to 2023)
• Semiparametric efficiency bound in time-series models for conditional quantiles
• On simultaneously identifying outliers and heteroscedasticity without specific form
• DEA for Heterogeneous Samples

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