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Finite sample stability properties of the least median of squares estimator

✍ Scribed by Sheather, Simon J.; McKean, Joseph W.; Hettmansperger, Thomas P.


Book ID
126739773
Publisher
Taylor and Francis Group
Year
1997
Tongue
English
Weight
388 KB
Volume
58
Category
Article
ISSN
0094-9655

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The tail behavior of the least-squares estimator in the linear regression model was studied in He et al. (Econometrica 58 (1990) 1195) under a ΓΏxed design for ΓΏnite n. We now consider a random design matrix Xn and the case n β†’ ∞ and study the probability P 0 (max16i6n |x i Rn | ΒΏ n) with n = F -1 (1