On asymptotics of t-type regression estimation in multiple linear model

• 作 者: Hengjian Cui (1)
• 机 构: 1.DepartmentofMathematics
• 出 处: 中国科学：数学英文版
• 发表日期: 2004年4期
• 关键词: T-TYPE regression estimator M-estimator ONE-STEP estimate consistency asympt
• 基金项目: The research was partially supported by the National Natural Science Foundation of China (Grant No.10231030) and the Excellent Young Teacher Program of the Ministry of Education of China.

We consider a robust estimator (t-type regression estimator) of multiple linear regression model by maximizing marginal likelihood of a scaled t-type error t-distribution.The marginal likelihood can also be applied to the de-correlated response when the w