A note on constrained M-estimation and its recursive analog in multivariate linear regression models

被引：0

作者：

RAO Calyampudi R ^{[1
]}

机构：

[1] Advanced Institute of Mathematics,Statistics and Computer Science,University of Hyderabad,Hyderabad,Andhra Pradesh,India

来源：

Science China Mathematics | 2009年 / 06期

基金：

加拿大自然科学与工程研究理事会;

关键词：

asymptotic normality; breakdown point; consistency; constrained M-estimation; in-?uence function; linear model; M-estimation; recursion estimation; robust estimation;

D O I：

暂无

中图分类号：

O212.1 [一般数理统计];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper,the constrained M-estimation of the regression coeffcients and scatter parameters in a general multivariate linear regression model is considered.Since the constrained M-estimation is not easy to compute,an up-dating recursion procedure is proposed to simplify the com-putation of the estimators when a new observation is obtained.We show that,under mild conditions,the recursion estimates are strongly consistent.In addition,the asymptotic normality of the recursive constrained M-estimators of regression coeffcients is established.A Monte Carlo simulation study of the recursion estimates is also provided.Besides,robustness and asymptotic behavior of constrained M-estimators are briefly discussed.

引用

页码：1235 / 1250

页数：16

共 50 条

[1] A note on constrained M-estimation and its recursive analog in multivariate linear regression models
RAO Calyampudi R
[J]. ScienceinChina(SeriesA:Mathematics)., 2009, 52 (06) - 1250
[2] A note on constrained M-estimation and its recursive analog in multivariate linear regression models
Rao, Calyampudi R.
Wu YueHua
[J]. SCIENCE IN CHINA SERIES A-MATHEMATICS, 2009, 52 (06): : 1235 - 1250
[3] A note on constrained M-estimation and its recursive analog in multivariate linear regression models
Calyampudi R. Rao
YueHua Wu
[J]. Science in China Series A: Mathematics, 2009, 52 : 1235 - 1250
[4] On constrained M-estimation and its recursive analog in multivariate linear regression models
Bai, Zhidong
Chen, Xiru
Wu, Yuehua
[J]. STATISTICA SINICA, 2008, 18 (02) : 405 - 424
[5] Constrained M-estimation for multivariate location and scatter
Kent, JT
Tyler, DE
[J]. ANNALS OF STATISTICS, 1996, 24 (03): : 1346 - 1370
[6] M-estimation for functional linear regression
Tang Qingguo
[J]. COMMUNICATIONS IN STATISTICS-THEORY AND METHODS, 2017, 46 (08) : 3782 - 3800
[7] Robust M-estimation of multivariate GARCH models
Boudt, Kris
Croux, Christophe
[J]. COMPUTATIONAL STATISTICS & DATA ANALYSIS, 2010, 54 (11) : 2459 - 2469
[8] M-estimation in regression models for censored data
Jin, Zhezhen
[J]. JOURNAL OF STATISTICAL PLANNING AND INFERENCE, 2007, 137 (12) : 3894 - 3903
[9] M-ESTIMATION OF MULTIVARIATE LINEAR-REGRESSION PARAMETERS UNDER A CONVEX DISCREPANCY FUNCTION
BAI, ZD
RAO, CR
WU, Y
[J]. STATISTICA SINICA, 1992, 2 (01) : 237 - 254
[10] Limiting behavior of recursive M-estimators in multivariate linear regression models
Miao, BQ
Wu, Y
[J]. JOURNAL OF MULTIVARIATE ANALYSIS, 1996, 59 (01) : 60 - 80

← 1 2 3 4 5 →