Limiting Behavior of RecursiveM-Estimators in Multivariate Linear Regression Models
AbstractIn this paper, several recursive algorithms for computingM-estimates in multivariate linear regression models are discussed. It is shown that the recursiveM-estimators of regression coefficient and scatter parameters are strongly consistent. In particular, the asymptotic normality of the recursiveM-estimators of regression coefficients is established.
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Multivariate Analysis.
Volume (Year): 59 (1996)
Issue (Month): 1 (October)
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Web page: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description
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