Asymptotic Normality of the Recursive M-estimators of the Scale Parameters

被引：0

作者：

Baiqi Miao

Yuehua Wu

Donghai Liu

Qian Tong

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：

Annals of the Institute of Statistical Mathematics | 2007年 / 59卷

关键词：

M-estimation; Multivariate linear regression model; Recursive algorithm; Robust estimation; Scatter parameter; Diffusion process; Strong consistency; Asymptotic normality;

D O I：

暂无

中图分类号：

学科分类号：

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：17

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