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WROCŁAW UNIVERSITY
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Contents of PMS, Vol. 15, Fasc. ,
pages 397 - 407
 

AFFINE- AND SCALE-EQUIVARIANT M -ESTIMATORS IN LINEAR MODEL

Jana Jurečková

Abstract: M -estimators of regression parameter vector in linear model, studentized by a suitable affine-invariant and scale-equivariant scale statistic, become affine- and scale-equivariant. We study some asymptotic properties of studentized M -estimators and give a brief review of suitable studentizing statistics, proposed in the literature.

2000 AMS Mathematics Subject Classification: Primary: -; Secondary: -;

Key words and phrases: -

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