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On the consistency of M-estimate in a linear model obtained through an estimating equation

Author

Listed:
  • Radhakrishna Rao, C.
  • Zhao, LC.

Abstract

We consider the linear model yi = x'i[beta] + ei, i = 1,...,n, and an estimating equation of the form [psi](y1-x'1[beta])x1 + ... + [psi](yn - x'n[beta])xn = 0 and prove the consistency of the estimator [beta] under some mild conditions on [psi]. The conditions imposed are much weaker than those assumed in earlier work by other authors. AMS 1980 Subject Classifications: 62J05, 62F10, 62F12

Suggested Citation

  • Radhakrishna Rao, C. & Zhao, LC., 1992. "On the consistency of M-estimate in a linear model obtained through an estimating equation," Statistics & Probability Letters, Elsevier, vol. 14(1), pages 79-84, May.
    • Handle: RePEc:eee:stapro:v:14:y:1992:i:1:p:79-84
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    Cited by:

    1. Xin Deng & Xuejun Wang, 2018. "Asymptotic Property of M Estimator in Classical Linear Models Under Dependent Random Errors," Methodology and Computing in Applied Probability, Springer, vol. 20(4), pages 1069-1090, December.
    2. Jan Víšek, 1996. "Sensitivity analysis of M-estimates," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 48(3), pages 469-495, September.

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