On consistency of redescending M-kernel smoothers

被引：0
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作者：
Martin Hillebrand
Christine H. Müller
机构：
[1] TU München,Zentrum Mathematik
[2] Carl von Ossietzky Universität Oldenburg,Institut für Mathematik
来源：
Metrika | 2006年 / 63卷
关键词：
Robust regression; Nonparametric regression; M-estimation; Jump preserving M-kernel estimation; Consistency; 62 G07; 62 G08; 62 G35;
D O I：
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学科分类号：
摘要：
M-estimators and M-kernel estimators with a redescending ψ-function are not in general consistent. This is often handled by means of coupling the estimator to a consistent one. Coupling the estimator to the (inconsistent) starting point improves the jump preserving properties. However, the consistency depends heavily on the shape of the density of the residuals. This paper shows inconsistency under convenient conditions as well as consistency – even at jump points – under somewhat stronger conditions.
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页码：71 / 90
页数：19
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