Limiting Behavior of RecursiveM-Estimato
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B.Q. Miao; Y. Wu
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Article
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1996
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Elsevier Science
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English
โ 865 KB
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