Limiting Behavior of RecursiveM-Estimators in Multivariate Linear Regression Models
In 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.
Volume (Year): 59 (1996)
Issue (Month): 1 (October)
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