M-Methods in multivariate linear models

Julio Motta Singer and Pranab Kumar Sen

Journal of Multivariate Analysis, 1985, vol. 17, issue 2, 168-184

Abstract: For the multivariate linear model, coordinatewise M-estimators as well as an extension of the Maronna-type M-estimators are considered. Based on the Jurecková (asymptotic) linearity of M-statistics, the asymptotic distribution theory of the proposed estimators is studied under appropriate regularity conditions, and incorporated in the formulation of some (asymptotic) M-tests of linear hypotheses. Finally, robustness properties of both types of estimators are discussed.

Keywords: asymptotic; distributions; asymptotic; linearity; breakdown; points; robust; procedures; influence; functions (search for similar items in EconPapers)
Date: 1985
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Citations: View citations in EconPapers (2)

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