Asymptotics of generalized M-estimation of regression and scale with fixed carriers, in an approximately linear model

Douglas P. Wiens

Statistics & Probability Letters, 1996, vol. 30, issue 3, 271-285

Abstract: For the approximately linear model , with i.i.d. errors [epsilon]i and fixed carriers z(xi), we establish the asymptotic normality of a generalized M-estimator of regression/scale. The estimator minimizes a weighted Huber-Dutter loss function. The function fn(x) contributes a bias term to the asymptotic normal distribution; apart from this term the estimator is [radical sign]n-equivalent to the estimator obtained assuming the response to be exactly linear. Several estimate/design combinations are compared, in a simulation study.

Keywords: Generalized; M-estimation; Robust; regression; Bounded; influence; Approximately; linear; regression; response (search for similar items in EconPapers)
Date: 1996
References: View complete reference list from CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/0167-7152(95)00230-8
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:30:y:1996:i:3:p:271-285

Ordering information: This journal article can be ordered from
http://www.elsevier.com/wps/find/supportfaq.cws_home/regional
https://shop.elsevie ... _01_ooc_1&version=01

Access Statistics for this article

Statistics & Probability Letters is currently edited by Somnath Datta and Hira L. Koul

More articles in Statistics & Probability Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().