LIMITING BEHAVIOR OF RECURSIVE M-ESTIMATORS IN MULTIVARIATE LINEAR-REGRESSION MODELS

Authors
MIAO BQ WU Y
Citation
Bq. Miao et Y. Wu, LIMITING BEHAVIOR OF RECURSIVE M-ESTIMATORS IN MULTIVARIATE LINEAR-REGRESSION MODELS, Journal of Multivariate Analysis, 59(1), 1996, pp. 60-80
Citations number
18
Categorie Soggetti
Statistic & Probability","Statistic & Probability
Journal title
Journal of Multivariate Analysis → ACNP
ISSN journal
0047259X
Volume
59
Issue
1
Year of publication
1996
Pages
60 - 80
Database
ISI
SICI code
0047-259X(1996)59:1<60:LBORMI>2.0.ZU;2-U
Abstract
In this paper several recursive algorithms for computing M-estimates i n multivariate linear regression models are discussed. It is shown tha t the recursive M-estimators of regression coefficient and scatter par ameters are strongly consistent. In particular, the asymptotic normali ty of the recursive M-estimators regression coefficients is establishe d. (C) 1996 Academic Press, Inc.