Limiting Behavior of RecursiveM-Estimators in Multivariate Linear Regression Models

B. Q. Miao and Y. Wu

Journal of Multivariate Analysis, 1996, vol. 59, issue 1, 60-80

Abstract: In this paper, several recursive algorithms for computingM-estimates in multivariate linear regression models are discussed. It is shown that the recursiveM-estimators of regression coefficient and scatter parameters are strongly consistent. In particular, the asymptotic normality of the recursiveM-estimators of regression coefficients is established.

Keywords: M-estimation; recursive; algorithm; robust; estimation; regression; coefficients; scatter; parameters; strong; consistency; asymptotic; normality (search for similar items in EconPapers)
Date: 1996
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