Some pathological regression asymptotics under stable conditions

DOI10.1016/S0167-7152(00)00107-3MaRDI QIDQ1591159zbMATH OpenFDO

Authors Roger Koenker, Stephen Portnoy

Publication date 2000

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0167-7152(00)00107-3

zbMATH Keywords

AsymptoticsData depthLAD regressionMedian regressionStable law

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Linear regression; mixed models (62J05)

Review text

We consider a simple through-the-origin linear regression example introduced by P. J. Rousseeuw, S. van Aelst and M. Hubert. It is shown that the conventional least squares and least absolute error estimators converge in distribution without normalization and consequently are inconsistent. A class of weighted median regression estimators, including the maximum depth estimator of Rousseeuw and Hubert [\textit{P. J. Rousseeuw} and \textit{M. Hubert}, J. Am. Stat. Assoc. 94, No. 446, 388--433 (1999; Zbl 1007.62060)], are shown to converge at rate \(n^{-1}\). Finally, the maximum likelihood estimator is considered, and we observe that there exist estimators that converge at rate \(n^{-2}\). The results illustrate some interesting, albeit somewhat pathological, aspects of stable-law convergence.

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Cites work

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(2)

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