Geodesic
Asymptotic properties of one-step weighted $M$-estimators with application to some regression problems.
Teoriâ veroâtnostej i ee primeneniâ, Tome 62 (2017) no. 3, pp. 468-498

Voir la notice de l'article provenant de la source Math-Net.Ru

We study the asymptotic behavior of one-step weighted $M$-estimators based on independent not necessarily identically distributed observations, which approximate consistent weighted $M$-estimators. We find sufficient conditions for asymptotic normality of these estimators. As an application, we consider some known regression models where the one-step estimation under consideration allows us to construct explicit asymptotically optimal estimators having the same accuracy as the least-squares or quasi-likelihood estimators.
Keywords: one-step $M$-estimators, one-step weighted $M$-estimators, $M$-estimators, asymptotic normality, Newton's iteration method, initial estimator, nonlinear regression. 
@article{TVP_2017_62_3_a2,
     author = {Yu. Yu. Linke},
     title = {Asymptotic properties of one-step weighted $M$-estimators with  application to some regression problems.},
     journal = {Teori\^a vero\^atnostej i ee primeneni\^a},
     pages = {468--498},
     publisher = {mathdoc},
     volume = {62},
     number = {3},
     year = {2017},
     language = {ru},
     url = {http://geodesic.mathdoc.fr/item/TVP_2017_62_3_a2/}
}
TY  - JOUR
AU  - Yu. Yu. Linke
TI  - Asymptotic properties of one-step weighted $M$-estimators with  application to some regression problems.
JO  - Teoriâ veroâtnostej i ee primeneniâ
PY  - 2017
SP  - 468
EP  - 498
VL  - 62
IS  - 3
PB  - mathdoc
UR  - http://geodesic.mathdoc.fr/item/TVP_2017_62_3_a2/
LA  - ru
ID  - TVP_2017_62_3_a2
ER  - 
%0 Journal Article
%A Yu. Yu. Linke
%T Asymptotic properties of one-step weighted $M$-estimators with  application to some regression problems.
%J Teoriâ veroâtnostej i ee primeneniâ
%D 2017
%P 468-498
%V 62
%N 3
%I mathdoc
%U http://geodesic.mathdoc.fr/item/TVP_2017_62_3_a2/
%G ru
%F TVP_2017_62_3_a2
Yu. Yu. Linke. Asymptotic properties of one-step weighted $M$-estimators with  application to some regression problems.. Teoriâ veroâtnostej i ee primeneniâ, Tome 62 (2017) no. 3, pp. 468-498. http://geodesic.mathdoc.fr/item/TVP_2017_62_3_a2/