A note on constrained M-estimation and its recursive analog in multivariate linear regression models

作者：Rao Calyampudi R; Wu YueHua^*

来源：Science in China Series A-Mathematics, 2009, 52(6): 1235-1250.

DOI：10.1007/s11425-009-0084-9

• asymptotic normality
• breakdown point
• consistency
• constrained M-estimation
• influence function
• linear model
• M-estimation
• recursion estimation
• robust estimation

In this paper, the constrained M-estimation of the regression coefficients and scatter parameters in a general multivariate linear regression model is considered. Since the constrained M-estimation is not easy to compute, an up-dating recursion procedure is proposed to simplify the computation of the estimators when a new observation is obtained. We show that, under mild conditions, the recursion estimates are strongly consistent. In addition, the asymptotic normality of the recursive constrained M-estimators of regression coefficients is established. A Monte Carlo simulation study of the recursion estimates is also provided. Besides, robustness and asymptotic behavior of constrained M-estimators are briefly discussed.

• 出版日期2009-6