数学物理学报(英文版) ›› 2010, Vol. 30 ›› Issue (1): 319-329.doi: 10.1016/S0252-9602(10)60048-3
摘要:
Recursive algorithms are very useful for computing M-estimators of regression coefficients and scatter Parameters. In this article, it is shown that for a nondecreasing u1(t), under some mild conditions the recursive M-estimators of regression coefficients and scatter parameters are strongly consistent and the recursive M-estimator of the regression coefficients is also asymptotically normal distributed. Furthermore, optimal recursive M-estimators, asymptotic efficiencies of recursive M-estimators and asymptotic relative efficiencies between recursive M-estimators of regression coefficients are studied.
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