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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.
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页码：367 / 384
页数：17
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