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Moderate deviations for M-estimators in linear models with ϕ-mixing errors

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Abstract

In this paper, the moderate deviations for the M-estimators of regression parameter in a linear model are obtained when the errors form a strictly stationary ϕ-mixing sequence. The results are applied to study many different types of M-estimators such as Huber’s estimator, L p-regression estimator, least squares estimator and least absolute deviation estimator.

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Authors and Affiliations

  1. School of Science, Hebei University of Technology, Tianjin, 300401, P. R. China

    Jun Fan

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  1. Jun Fan
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Correspondence to Jun Fan.

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Supported by National Natural Science Foundation of China (Grant Nos. 10871153 and 10971047)

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Fan, J. Moderate deviations for M-estimators in linear models with ϕ-mixing errors. Acta. Math. Sin.-English Ser. 28, 1275–1294 (2012). https://doi.org/10.1007/s10114-011-9188-6

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  • DOI: https://doi.org/10.1007/s10114-011-9188-6

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