Asymptotic behavior of iterative m-estimators for the linear model |
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| Authors: | Ruben Klein Victor J. Yohai |
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| Affiliation: | 1. Instituto de Matemática Pura e Aplicada , Rio de Janeiro, Brasil;2. Universidad de Buenos Aires , Buenos Aires, Argentina |
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| Abstract: | ![]()
In this paper, we study the M-estimators for the linear model when they are computed by a class of numerical iterative procedures. This class includes the usual method of Newton-Raphson, iteratively reweighted least squares and iterative winsorization. We show that under mild conditions, the numerical iterative procedures converge and the resulting estimators are consistent and asymptotically normal. |
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| Keywords: | M-estimator numerical iterative procedures linear model asymptotic theory |
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