Asymptotic normality of the recursive M-estimators of the scale parameters

作者：Miao Baiqi; Wu Yuehua^*; Liu Donghai; Tong Qian

来源：Annals of the Institute of Statistical Mathematics, 2007, 59(2): 367-384.

DOI：10.1007/s10463-006-0051-y

• M-estimation
• multivariate linear regression model
• recursive algorithm
• robust estimation
• scatter parameter
• diffusion process
• strong consistency
• asymptotic normality

In this paper, the limit distributions of the recursive M-estimators of scatter parameters in a multivariate linear model setting are studied. Under some mild conditions, the asymptotic normality of the recursive M-esimtators is established. Some Monte Carlo simulation results are presented to illustrate the performance of the recursive M-estimators.

• 单位
  中国科学技术大学