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https://scholarbank.nus.edu.sg/handle/10635/105252
Title: | On constrained M-estimation and its recursive analog in multivariate linear regression models | Authors: | Bai, Z. Chen, X. Wu, Y. |
Keywords: | Asymptotic normality Breakdown point Consistency Constrained M-estimation Influence function Linear model M-estimation Recursion estimation Robust estimation |
Issue Date: | Apr-2008 | Citation: | Bai, Z.,Chen, X.,Wu, Y. (2008-04). On constrained M-estimation and its recursive analog in multivariate linear regression models. Statistica Sinica 18 (2) : 405-424. ScholarBank@NUS Repository. | Abstract: | In this paper, the constrained M-estimation of the regression coefficients and scatter parameters in a multivariate linear regression model is considered. Robustness and asymptotic behavior are investigated. Since constrained M-estimation is not easy to compute, an up-dating recursion procedure is proposed to simplify the computation of the estimators when a new observation is obtained. We show that, under mild conditions, the recursion estimates are strongly consistent. A Monte Carlo simulation study of the recursion estimates is also provided. | Source Title: | Statistica Sinica | URI: | http://scholarbank.nus.edu.sg/handle/10635/105252 | ISSN: | 10170405 |
Appears in Collections: | Staff Publications |
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