Consistency and Normality of M-Estimators in Partly Linear Models with Stochastic Adapted Errors

被引：0

作者：

Yan, Li ^{[1
]}

Chen, Xia ^{[1
]}

机构：

[1] Shaanxi Normal Univ, Coll Math & Informat Sci, Xian 710062, Peoples R China

来源：

COMMUNICATIONS IN STATISTICS-THEORY AND METHODS | 2012年 / 41卷 / 09期

基金：

中国国家自然科学基金;

关键词：

Piecewise polynomial; Partly linear model; M-estimator; Stochastic adapted sequence; STRONG LIMIT-THEOREMS; SEMIPARAMETRIC MODEL; LONGITUDINAL DATA; RANDOM-VARIABLES; RATES; CONVERGENCE; SEQUENCES;

D O I：

10.1080/03610926.2012.657329

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

The robust M-estimators for the partly linear model under stochastic adapted errors are considered. It is shown that the M-estimator of parameter is asymptotically normal and the M-estimator of the nonparametric function achieves the optimal rate of convergence for nonparametric regression. Some known results are improved and generalized. Some simulations and a real data example are conducted to illustrate the proposed method.

引用

页码：1557 / 1568

页数：12

共 50 条

[31] Consistency and asymptotic normality of stochastic block models estimators from sampled data
Mariadassou, Mahendra
Tabouy, Timothee
ELECTRONIC JOURNAL OF STATISTICS, 2020, 14 (02): : 3672 - 3704
[32] ONE-STEP M-ESTIMATORS IN THE LINEAR-MODEL, WITH DEPENDENT ERRORS
FIELD, CA
WIENS, DP
CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE, 1994, 22 (02): : 219 - 231
[33] Asymptotic normality of M-estimators in a semiparametric model with longitudinal data
Tang Qingguo
METRIKA, 2009, 69 (01) : 55 - 67
[34] Conditions of Asymptotic Normality of One-Step M-Estimators
Linke Y.Y.
Sakhanenko A.I.
Journal of Mathematical Sciences, 2018, 230 (1) : 95 - 111
[35] Limiting behavior of recursive M-estimators in multivariate linear regression models
Miao, BQ
Wu, Y
JOURNAL OF MULTIVARIATE ANALYSIS, 1996, 59 (01) : 60 - 80
[36] Asymptotics of M-estimators in two-phase linear regression models
Koul, HL
Qian, LF
Surgailis, D
STOCHASTIC PROCESSES AND THEIR APPLICATIONS, 2003, 103 (01) : 123 - 154
[37] Asymptotic normality of M-estimators in a semiparametric model with longitudinal data
Tang Qingguo
Metrika, 2009, 69 : 55 - 67
[38] M-estimators and Simulations with GARCH Models
Meng Zhaowei
Sun Congcong
MANAGEMENT ENGINEERING AND APPLICATIONS, 2010, : 685 - 689
[39] Asymptotic properties of M-estimators in linear and nonlinear multivariate regression models
Withers, Christopher S.
Nadarajah, Saralees
METRIKA, 2014, 77 (05) : 647 - 673
[40] Breakdown points and variation exponents of robust M-estimators in linear models
Mizera, I
Müller, CH
ANNALS OF STATISTICS, 1999, 27 (04): : 1164 - 1177

← 1 2 3 4 5 →