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Asymptotic Normality of the Recursive M-estimators of the Scale Parameters

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Abstract

In this paper, the limit distributions of the recursive M-estimators of scatter parameters in a multivariate linear model setting are studied. Under some mild conditions, the asymptotic normality of the recursive M-esimtators is established. Some Monte Carlo simulation results are presented to illustrate the performance of the recursive M-estimators.

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Authors and Affiliations

  1. Department of Statistics and Finance, University of Science and Technology of China, Hefei, Anhui, 230026, China

    Baiqi Miao & Donghai Liu

  2. Department of Mathematics and Statistics, York University, 4700 Keele Street, Toronto, ON, M3J 1P3, Canada

    Yuehua Wu & Qian Tong

Authors
  1. Baiqi Miao
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  2. Yuehua Wu
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  3. Donghai Liu
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  4. Qian Tong
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Corresponding author

Correspondence to Yuehua Wu.

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Miao, B., Wu, Y., Liu, D. et al. Asymptotic Normality of the Recursive M-estimators of the Scale Parameters. AISM 59, 367–384 (2007). https://doi.org/10.1007/s10463-006-0051-y

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  • DOI: https://doi.org/10.1007/s10463-006-0051-y

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