Strong consistency of M-estimates in linear models

X. R. Chen and Y. H. Wu

Journal of Multivariate Analysis, 1988, vol. 27, issue 1, 116-130

Abstract: This article studies the strong consistency of M-estimates in linear regression models directly from the minimization problem 75, where X1. X2, ... can be random observations of a p-dimensional random vector X, or that they are simply known nonrandom p-vectors. It is shown that the solution ([alpha]n, [beta]'n) of this minimization problem converges with probability one to the true parameter ([alpha]0,[beta]'0) under very general conditions on the function [varrho] and the sequence {(X'i, Yi)}.

Keywords: M-estimate; linear; model; strong; consistency (search for similar items in EconPapers)
Date: 1988
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Citations: View citations in EconPapers (9)

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