Moderate deviations for M-estimators in linear models with -mixing errors

作者：Fan Jun^*

来源：Acta Mathematica Sinica-English Series, 2012, 28(6): 1275-1294.

DOI：10.1007/s10114-011-9188-6

• Moderate deviations
• M-estimator
• least absolute deviation estimator
• linear regression

In this paper, the moderate deviations for the M-estimators of regression parameter in a linear model are obtained when the errors form a strictly stationary -mixing sequence. The results are applied to study many different types of M-estimators such as Huber's estimator, -regression estimator, least squares estimator and least absolute deviation estimator.

• 出版日期2012-6
• 单位河北工业大学