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LIMITING BEHAVIOR OF RECURSIVE M-ESTIMATORS IN MULTIVARIATE LINEAR REGRESSION MODELS AND THEIR ASYMPTOTIC EFFICIENCIES

LIMITING BEHAVIOR OF RECURSIVE M-ESTIMATORS IN MULTIVARIATE LINEAR REGRESSION MODELS AND THEIR ASYMPTOTIC EFFICIENCIES
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摘要 Recursive algorithms are very useful for computing M-estimators of regression coefficients and scatter parameters. In this article, it is shown that for a nondecreasing ul （t）, under some mild conditions the recursive M-estimators of regression coefficients and scatter parameters are strongly consistent and the recursive M-estimator of the regression coefficients is also asymptotically normal distributed. Furthermore, optimal recursive M-estimators, asymptotic efficiencies of recursive M-estimators and asymptotic relative efficiencies between recursive M-estimators of regression coefficients are studied. Recursive algorithms are very useful for computing M-estimators of regression coefficients and scatter parameters. In this article, it is shown that for a nondecreasing ul （t）, under some mild conditions the recursive M-estimators of regression coefficients and scatter parameters are strongly consistent and the recursive M-estimator of the regression coefficients is also asymptotically normal distributed. Furthermore, optimal recursive M-estimators, asymptotic efficiencies of recursive M-estimators and asymptotic relative efficiencies between recursive M-estimators of regression coefficients are studied.
作者 缪柏其 吴月华 刘东海
机构地区 Department of Statistics and Finance Department of Mathematics and Statistics Department of Fire Command
出处 《Acta Mathematica Scientia》 SCIE CSCD 2010年第1期319-329,共11页 数学物理学报（B辑英文版）
基金 supported by the Natural Sciences and Engineering Research Council of Canada the National Natural Science Foundation of China the Doctorial Fund of Education Ministry of China supported by the Natural Sciences and Engineering Research Council of Canada supported by the National Natural Science Foundation of China
关键词 asymptotic efficiency asymptotic normality asymptotic relative efficiency least absolute deviation least squares M-ESTIMATION multivariate linear optimal estimator reeursive algorithm regression coefficients robust estimation regression model asymptotic efficiency asymptotic normality asymptotic relative efficiency least absolute deviation least squares M-estimation multivariate linear optimal estimator reeursive algorithm regression coefficients robust estimation regression model
分类号 O212 [理学—概率论与数理统计]
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参考文献9

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Acta Mathematica Scientia
2010年 第1期

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