Strong consistency of M-estimates in linear models
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This article studies the strong consistency of M-estimates in linear regression models directly from the minimization problem \[ \sum^{n}_{i=1}\rho (Y_ i-\alpha -X'_ i\beta):=\min, \] where \(X_ 1,X_ 2,..\). can be random observations of a p-dimensional random vector X, or they are simply known nonrandom p-vectors. It is shown that the solution (\({\hat \alpha}_ n,{\hat \beta}'_ n)\) of this minimization problem converges with probability one to the true parameter \((\alpha_ 0,\beta'_ 0)\) under very general conditions on the function \(\rho\) and the sequence \(\{(X'_ i,Y_ i)\}\).
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