Selecting an adaptive sequence for computing recursive M-estimators in multivariate linear regression models

被引：0

作者：

Baiqi Miao

Qian Tong

Yuehua Wu

Baisuo Jin

机构：

[1] University of Science and Technology of China,Department of Statistics and Finance

[2] York University,Department of Mathematics and Statistics

来源：

Journal of Systems Science and Complexity | 2013年 / 26卷

关键词：

Adaptive sequence; M-estimation; multivariate linear model; recursive algorithm; scatter parameters;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

In this paper, the authors consider an adaptive recursive algorithm by selecting an adaptive sequence for computing M-estimators in multivariate linear regression models. Its asymptotic property is investigated. The recursive algorithm given by Miao and Wu (1996) is modified accordingly. Simulation studies of the algorithm is also provided. In addition, the Newton-Raphson iterative algorithm is considered for the purpose of comparison.

引用

页码：583 / 594

页数：11

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