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Asymptotic properties of M estimators in classical linear models with φ-mixing random errors.
- Source :
- Journal of Statistical Computation & Simulation; Dec2023, Vol. 93 Issue 18, p3259-3284, 26p
- Publication Year :
- 2023
-
Abstract
- In this paper, the asymptotic normality and strong consistency for M estimators of the unknown regression coefficients in classical linear models are established under the assumptions that the errors are identically distributed φ-mixing random variables. The results obtained in this paper generalize the corresponding ones of Chen and Zhao [M-methods in linear model. Shanghai: Scientific and Technical Publishers; 1996] and Zhao [Strong consistency of M-estimates in linear model. Sci China Ser A. 2002;45:1420–1427] for independent errors. Finally, the simulation study is provided to verify the finite sample performance of the theoretical results and a real example is analysed for illustration. [ABSTRACT FROM AUTHOR]
- Subjects :
- RANDOM variables
ASYMPTOTIC normality
PUBLISHING
Subjects
Details
- Language :
- English
- ISSN :
- 00949655
- Volume :
- 93
- Issue :
- 18
- Database :
- Complementary Index
- Journal :
- Journal of Statistical Computation & Simulation
- Publication Type :
- Academic Journal
- Accession number :
- 173489612
- Full Text :
- https://doi.org/10.1080/00949655.2023.2220157