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Measuring the robustness potential of the least-squares estimation: geodetic illustration

✍ Scribed by W. Prószyński


Publisher
Springer-Verlag
Year
1997
Tongue
English
Weight
541 KB
Volume
71
Category
Article
ISSN
1432-1394

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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 ÿxed design for ÿnite n. We now consider a random design matrix Xn and the case n → ∞ and study the probability P 0 (max16i6n |x i Rn | ¿ n) with n = F -1 (1