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Asymptotic behavior of iterative m-estimators for the linear model
Authors:Ruben Klein  Victor J. Yohai
Affiliation:1. Instituto de Matemática Pura e Aplicada , Rio de Janeiro, Brasil;2. Universidad de Buenos Aires , Buenos Aires, Argentina
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.
Keywords:M-estimator  numerical iterative procedures  linear model  asymptotic theory
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