It is well known that $L_1$-estimators of regression parameters are asymptotically normal if the distribution function has a positive derivative at 0. In this paper, we derive the asymptotic distributions under more general conditions on the behavior of the distribution function near 0.
Publié le : 1998-04-14
Classification:
$L_1$-estimation,
linear regression,
asymptotic distribution,
62F12,
60F05,
62E20,
60F17
@article{1028144858,
author = {Knight, Keith},
title = {Limiting distributions for $L\sb 1$ regression estimators under general conditions},
journal = {Ann. Statist.},
volume = {26},
number = {3},
year = {1998},
pages = { 755-770},
language = {en},
url = {http://dml.mathdoc.fr/item/1028144858}
}
Knight, Keith. Limiting distributions for $L\sb 1$ regression estimators under general conditions. Ann. Statist., Tome 26 (1998) no. 3, pp. 755-770. http://gdmltest.u-ga.fr/item/1028144858/