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On Consistency of Recursive Multivariate M-Estimators in Linear Models

  • Yuehua Wu
Chapter
Part of the Lecture Notes in Statistics book series (LNS, volume 109)

Abstract

Strong consistency of recursive M-estimators of regression coefficients and scatter parameters in multivariate linear regression models is proved when the designs are nonrandom matrices satisfying \(\frac{1}{n} \textstyle \sum_{i=1}^n X_i^\prime X_i \rightarrow Q > 0\).

Key words and phrases

M-estimation recursive algorithm strong mixing convergence and consistency robust estimation scatter 

AMS 1991 subject classifications

Primary 62J05 62F12 secondary 62F35 

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References

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Copyright information

© Springer-Verlag New York, Inc. 1996

Authors and Affiliations

  • Yuehua Wu
    • 1
  1. 1.York UniversityCanada

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