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Asymptotic Properties of Weighted M-estimators for variable probability samples

โœ Scribed by Jeffrey M. Wooldridge


Book ID
108555944
Publisher
John Wiley and Sons
Year
1999
Tongue
English
Weight
168 KB
Volume
67
Category
Article
ISSN
0012-9682

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Asymptotic variance of M-estimators for
โœ Marc G. Genton ๐Ÿ“‚ Article ๐Ÿ“… 1998 ๐Ÿ› Elsevier Science ๐ŸŒ English โš– 313 KB

This paper discusses the asymptotic behavior of M-estimators for dependent Gaussian random variables. We show that for a Gaussian distribution, the asymptotic variance of an M-estimator of scale is minimal in the independent case and must necessarily increase for dependent data. This is not true for