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arXiv · 1505.02725

Asymptotic properties of one-step weighted $M$-estimators and applications to some regression problems

Yu. Yu. Linke
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Abstract

We study asymptotic behavior of one-step weighted $M$-estimators based on samples from arrays of not necessarily identically distributed random variables and representing explicit approximations to the corresponding consistent weighted $M$-estimators. Sufficient conditions are presented for asymptotic normality of the one-step weighted $M$-estimators under consideration. As a consequence, we consider some well-known nonlinear regression models where the procedure mentioned allow us to construct explicit asymptotically optimal estimators.

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Yu. Yu. Linke. 2015-05-11. Asymptotic properties of one-step weighted $M$-estimators and applications to some regression problems. https://arxiv.org/abs/1505.02725

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