Asymptotics for L1-estimators of regression parameters under heteroscedasticity

被引：22

作者：

Knight, K ^{[1
]}

机构：

[1] Univ Toronto, Dept Stat, Toronto, ON M5S 3G3, Canada

来源：

CANADIAN JOURNAL OF STATISTICS-REVUE CANADIENNE DE STATISTIQUE | 1999年 / 27卷 / 03期

关键词：

linear regression; L-1-estimation; heteroscedasticity; asymptotic distribution; bootstrap;

D O I：

10.2307/3316107

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：

We consider the asymptotic behaviour of L-1-estimators in a linear regression under a very general form of heteroscedasticity. The limiting distributions of the estimators are derived under standard conditions on the design. We also consider the asymptotic behaviour of the bootstrap in the heteroscedastic model and show that it is consistent to first order only if the limiting distribution is normal.

引用

页码：497 / 507

页数：11

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