论文信息 - Asymptotic behavior of iterative m-estimators for the linear model

Asymptotic behavior of iterative m-estimators for the linear model

In this paper, we study the M-estimators for the linear model when they are computed by a class of numerical iterative procedures. This class includes the usual method of Newton-Raphson, iteratively reweighted least squares and iterative winsorization. We show that under mild conditions, the numerical iterative procedures converge and the resulting estimators are consistent and asymptotically normal.

Victor J. Yohai | V. Yohai | R. Klein | Ruben Klein

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