EDGEWORTH EXPANSIONS FOR M-ESTIMATORS OF A REGRESSION PARAMETER

被引：3

作者：

LAHIRI, SN

机构：

来源：

JOURNAL OF MULTIVARIATE ANALYSIS | 1992年 / 43卷 / 01期

关键词：

EDGEWORTH EXPANSION; M-ESTIMATOR; REGRESSION; LOCATION MODEL;

D O I：

10.1016/0047-259X(92)90112-S

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

This paper gives rth order Edgeworth expansions (r ≥ 3) for M-estimators of a regression parameter in a simple linear regression model. The regularity conditions used here essentially require the smoothness of some integrals of the score function with respect to the underlying error distribution. As a result, these expansions are valid for robust M-estimators corresponding to nonsmooth score functions. © 1992.

引用

页码：125 / 132

页数：8

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