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.
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页码：367 / 384
页数：18
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