Asymptotic normality of p-norm estimators in multiple regression
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Summary
The consistency and asymptotic normality of p-norm estimators (1<p<2) is established by applying some of the ideas of Huber (1973), where asymptotic normality of the so-called M-estimators for regression parameters is shown. A central role is played by a weight function ψ. Huber assumed that ψ, ψ′ and ψ″ are bounded. This is, however, not the case for p-norm estimators with 1<p<2, but some of his ideas can still be applied.
Keywords
Linear Regression Model Regression Parameter Multiple Linear Regression Model Asymptotic Normality Invariance Property
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