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Limiting Distributions of Linear Programming Estimators

✍ Scribed by Keith Knight


Book ID
110326309
Publisher
Springer
Year
2001
Tongue
English
Weight
528 KB
Volume
4
Category
Article
ISSN
1386-1999

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In this paper, several recursive algorithms for computing M-estimates in multivariate linear regression models are discussed. It is shown that the recursive M-estimators of regression coefficient and scatter parameters are strongly consistent. In particular, the asymptotic normality of the recursive