On the asymptotic behavior of one-step estimates in heteroscedastic regression models

被引：14

作者：

Bianco, A

Boente, G

机构：

[1] Univ Buenos Aires, Fac Ciencias Exactas & Nat, Inst Calculo, RA-1428 Buenos Aires, DF, Argentina

[2] Univ Buenos Aires, Fac Ciencias Exactas & Nat, CONICET, RA-1428 Buenos Aires, DF, Argentina

[3] Univ Buenos Aires, Fac Ciencias Exactas & Nat, Dept Matemat, RA-1428 Buenos Aires, DF, Argentina

来源：

STATISTICS & PROBABILITY LETTERS | 2002年 / 60卷 / 01期

关键词：

heteroscedasticity; robust estimation; one-step estimates; asymptotic properties;

D O I：

10.1016/S0167-7152(02)00244-4

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 [统计学]; 070103 [概率论与数理统计]; 0714 [统计学];

摘要：

The asymptotic distribution of one-step Newton-Raphson estimates is established for a regression model with random carriers and heteroscedastic errors under mild conditions. We also include a class of robust estimates defined as the solution of an implicit equation, such as the MM-estimates. (C) 2002 Elsevier Science B.V. All rights reserved.

引用

页码：33 / 47

页数：15

共 22 条

[1]

Some results for robust GM-based estimators in heteroscedastic regression models [J].