Estimators of scale parameters in linear regression

H. L. Koul and V. Susarla

Statistics & Probability Letters, 1983, vol. 1, issue 5, 273-277

Abstract: This note discusses the asymptotic distribution of two scale and location invariant estimators of two scale parameters in the multiple linear regression model. Both of these estimators need an initial estimator of the regression parameter vector. The asymptotic distribution of one of these estimators does not depend on this initial estimator. Both of these estimators are useful in the computation of scale and translation invariant adaptive estimators and M-estimators of the regression parameter vector.

Keywords: 62G05 62J05; 62F12 (search for similar items in EconPapers)
Date: 1983
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