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GeneralM-Estimation

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  • Bai, Z. D.
  • Wu, Y
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    Abstract

    In this paper, a general form ofM-estimation is proposed and some asymptotics are investigated. The model covers all linear and nonlinear regression models, AR time series, EIVR models, etc. as its special cases. The dispersion functions may be convex or differences of convex functions, the later covers almost all useful choices of the dispersion functions.

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    Bibliographic Info

    Article provided by Elsevier in its journal Journal of Multivariate Analysis.

    Volume (Year): 63 (1997)
    Issue (Month): 1 (October)
    Pages: 119-135

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    Handle: RePEc:eee:jmvana:v:63:y:1997:i:1:p:119-135

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    Related research

    Keywords: GeneralM-estimation asymptotics multivariate linear model;

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