In this paper, we consider a simple iterative estimation procedure for censored regression models with symmetrical exponential error distributions. Although each step requires to impute the censored data with conditional medians, its tractability is guaranteed as well as its convergence at geometrical rate. Finally, as the final estimate coincides with a Huber M-estimator, its consistency and asymptotic normality are easily proved.
@article{urn:eudml:doc:44386,
title = {Censored regression models with double exponential error distributions: an iterattive estimation procedure based on medians for correcting bias.},
journal = {Revista Matem\'atica de la Universidad Complutense de Madrid},
volume = {13},
year = {2000},
pages = {137-159},
zbl = {0962.62065},
mrnumber = {MR1794907},
language = {en},
url = {http://dml.mathdoc.fr/item/urn:eudml:doc:44386}
}
Anido, Carmen; Valdés, Teófilo. Censored regression models with double exponential error distributions: an iterattive estimation procedure based on medians for correcting bias.. Revista Matemática de la Universidad Complutense de Madrid, Tome 13 (2000) pp. 137-159. http://gdmltest.u-ga.fr/item/urn:eudml:doc:44386/