Strong convergence rate of the least median absolute estimator in linear regression models

被引：0

作者：

W. C. Ip

Ying Yang

P. Y. K. Kwan

Y. K. Kwan

机构：

[1] The Hong Kong Polytechnic University,Department of Applied Mathematics

[2] Peking University,Department of Probability and Statistics

来源：

Statistical Papers | 2003年 / 44卷

关键词：

linear regression; median absolute deviation; strong convergence rate; LMA estimator; 62J05; 62F12;

D O I：

暂无

中图分类号：

学科分类号：

摘要：

We propose a least median of absolute (LMA) estimator for a linear regression model, based on minimizing the median absolute deviation of the residuals. Under some regularity conditions on the design points and disturbances, the strong convergence rate of the LMA estimator is established.

引用

页码：183 / 201

页数：18

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