M-estimation in linear models under nons
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Faouzi El Bantli
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Article
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2004
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Elsevier Science
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English
β 291 KB
The limiting distribution of M-estimators of the regression parameter in linear models is derived under nonstandard conditions, allowing, e.g., for discontinuities in density functions. Unlike usual regularity assumptions, our conditions are satisΓΏed, for instance, in the case of regression quantile