The least trimmed squares. Part III: Asymptotic normality

Víšek, Jan Ámos

Kybernetika, Tome 42 (2006) no. 2, pp. 203-224

Abstract (VO)

Asymptotic normality of the least trimmed squares estimator is proved under general conditions. At the end of paper a discussion of applicability of the estimator (including the discussion of algorithm for its evaluation) is offered.

Détail

Classification : 62F12, 62F35, 62F40, 62J05
Keywords: robust regression; the least trimmed squares; $\sqrt{n}$-consistency; asymptotic normality

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