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M-Methods in multivariate linear models

Author

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  • Singer, Julio Motta
  • Sen, Pranab Kumar

Abstract

For the multivariate linear model, coordinatewise M-estimators as well as an extension of the Maronna-type M-estimators are considered. Based on the Jurecková (asymptotic) linearity of M-statistics, the asymptotic distribution theory of the proposed estimators is studied under appropriate regularity conditions, and incorporated in the formulation of some (asymptotic) M-tests of linear hypotheses. Finally, robustness properties of both types of estimators are discussed.

Suggested Citation

  • Singer, Julio Motta & Sen, Pranab Kumar, 1985. "M-Methods in multivariate linear models," Journal of Multivariate Analysis, Elsevier, vol. 17(2), pages 168-184, October.
    • Handle: RePEc:eee:jmvana:v:17:y:1985:i:2:p:168-184
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    Cited by:

    1. T. Shiraishi, 1990. "M-tests in multivariate models," Metrika: International Journal for Theoretical and Applied Statistics, Springer, vol. 37(1), pages 189-197, December.
    2. John S. Preisser & Bahjat F. Qaqish, 1999. "Robust Regression for Clustered Data with Application to Binary Responses," Biometrics, The International Biometric Society, vol. 55(2), pages 574-579, June.

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