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

被引：6

作者：

Miao, Baiqi

Wu, Yuehua

Liu, Donghai

Tong, Qian

机构：

[1] York Univ, Dept Math & Stat, Toronto, ON M3J 1P3, Canada

[2] Univ Sci & Technol China, Dept Stat & Finance, Hefei 230026, Anhui, Peoples R China

来源：

ANNALS OF THE INSTITUTE OF STATISTICAL MATHEMATICS | 2007年 / 59卷 / 02期

基金：

加拿大自然科学与工程研究理事会; 中国国家自然科学基金;

关键词：

M-estimation; multivariate linear regression model; recursive algorithm; robust estimation; scatter parameter; diffusion process; strong consistency; asymptotic normality;

D O I：

10.1007/s10463-006-0051-y

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：

In this paper, the limit distributions of the recursive M-estimators of scatter parameters in a multivariate linear model setting are studied. Under some mild conditions, the asymptotic normality of the recursive M-esimtators is established. Some Monte Carlo simulation results are presented to illustrate the performance of the recursive M-estimators.

引用

页码：367 / 384

页数：18

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