Kybernetika 32 no. 4, 353-374, 1996

A note on asymptotic linearity of M-statistics in nonlinear models

Asunción Mária Rubio and Jan Ámos Víšek

Abstract:

For a smooth nonlinear regression model the conditions for the uniform second order asymptotic linearity of the $M$-statistics in the regression parameters are given. The existence of the $\sqrt{n}$-consistent estimator of the regression parameters and the role of the rescaling residuals in the $M$-estimation are briefly discussed.

Classification:

62F12, 62F10, 62J02