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

DOI10.1007/s10463-006-0051-yzbMath1332.62106OpenAlexW2161637756MaRDI QIDQ995799

Yuehua Wu, Baiqi Miao, 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

zbMATH Keywords

asymptotic normalitydiffusion processrecursive algorithmstrong consistencyrobust estimationM-estimationmultivariate 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)

Related Items (3)

Asymptotic properties on high-dimensional multivariate regression M-estimation ⋮ Notes on M-estimation in exponential signal models ⋮ A note on constrained M-estimation and its recursive analog in multivariate linear regression models

Uses Software

• ElemStatLearn

Cites Work

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• Robust m-estimators of multivariate location and scatter
• Weak convergence of recursions
• Limiting behavior of recursive \(M\)-estimators in multivariate linear regression models
• Multivariate recursive \(M\)-estimators of location and scatter for dependent sequences
• One-Step Huber Estimates in the Linear Model
• The elements of statistical learning. Data mining, inference, and prediction

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