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On the asymptotic behavior of one-step estimates in heteroscedastic regression models

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  • Bianco, Ana
  • Boente, Graciela

Abstract

The asymptotic distribution of one-step Newton-Raphson estimates is established for a regression model with random carriers and heteroscedastic errors under mild conditions. We also include a class of robust estimates defined as the solution of an implicit equation, such as the MM-estimates.

Suggested Citation

  • Bianco, Ana & Boente, Graciela, 2002. "On the asymptotic behavior of one-step estimates in heteroscedastic regression models," Statistics & Probability Letters, Elsevier, vol. 60(1), pages 33-47, November.
    • Handle: RePEc:eee:stapro:v:60:y:2002:i:1:p:33-47
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    References listed on IDEAS

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    1. Davies, Laurie, 1992. "An efficient Fréchet differentiable high breakdown multivariate location and dispersion estimator," Journal of Multivariate Analysis, Elsevier, vol. 40(2), pages 311-327, February.
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    Cited by:

    1. Bianco, Ana M. & Boente, Graciela & González-Manteiga, Wenceslao & Pérez-González, Ana, 2015. "Robust inference in partially linear models with missing responses," Statistics & Probability Letters, Elsevier, vol. 97(C), pages 88-98.
    2. Ana M. Bianco & Paula M. Spano, 2019. "Robust inference for nonlinear regression models," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 28(2), pages 369-398, June.
    3. Bianco, Ana M. & Boente, Graciela & Rodrigues, Isabel M., 2013. "Robust tests in generalized linear models with missing responses," Computational Statistics & Data Analysis, Elsevier, vol. 65(C), pages 80-97.

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