An exponential inequality and its application to M estimators in multiple linear models

Xin Deng and Xuejun Wang ()
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Xin Deng: Anhui University
Xuejun Wang: Anhui University

Statistical Papers, 2020, vol. 61, issue 4, No 12, 1607-1627

Abstract: Abstract In the paper, an exponential inequality for widely orthant dependent random variables is established without bounded condition. By using the inequality, we further investigate the strong linear representation for the M estimator of the regression parameter vector in linear regression models with widely orthant dependent random errors under some general conditions. In addition, we have conducted comprehensive simulation studies to demonstrate the validity of obtained theoretical results.

Keywords: Exponential inequality; Strong linear representation; M estimator; Linear regression model; Widely orthant dependent random variables; 60E15; 62F12; 62J05 (search for similar items in EconPapers)
Date: 2020
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DOI: 10.1007/s00362-018-0994-0

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