Consistency of M-Estimates in General Regression Models

F. Liese and I. Vajda

Journal of Multivariate Analysis, 1994, vol. 50, issue 1, 93-114

Abstract: This paper extends the results of Chen and Wu [1] concerning consistency of M-estimators in the linear regression model. We consider M-estimators defined by [formula] in the general regression model yi = f(xi,[theta] ) + [epsilon]i, where f(x, [theta]) is continuous on a separable metric space X [circle times operator] [Theta], (x1, x2, ... ) is a deterministic design of experiment, and ([epsilon]1, [epsilon]2, ... ) are independet errors. This model has been considered previously by Richardson and Bhattacharyya [9], but they were restricted to [rho](x) = and their method differs from ours.

Date: 1994
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