Selecting an adaptive sequence for computing recursive M-estimators in multivariate linear regression models |
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| Authors: | Baiqi Miao Qian Tong Yuehua Wu Baisuo Jin |
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| Affiliation: | 1. Department of Statistics and Finance, University of Science and Technology of China, Hefei, 230026, China
2. Department of Mathematics and Statistics, York University, Toronto, Ontario, M3J1P3, Canada
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| Abstract: | In this paper, the authors consider an adaptive recursive algorithm by selecting an adaptive sequence for computing M-estimators in multivariate linear regression models. Its asymptotic property is investigated. The recursive algorithm given by Miao and Wu (1996) is modified accordingly. Simulation studies of the algorithm is also provided. In addition, the Newton-Raphson iterative algorithm is considered for the purpose of comparison. |
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