Open AccessAsymptotic Theory for Iterated One-Step Huber-Skip Estimators
Author(s) -
Søren Johansen,
Bent Nielsen
Publication year - 2011
Publication title -
ssrn electronic journal
Language(s) - English
Resource type - Journals
ISSN - 1556-5068
DOI - 10.2139/ssrn.1967408
Subject(s) - estimator , iterated function , asymptotic analysis , mathematics , econometrics , mathematical economics , statistics , computer science , mathematical analysis
Iterated one-step Huber-skip M-estimators are considered for regression problems. Each one-step estimator is a reweighted least squares estimators with zero/one weights determined by the initial estimator and the data. The asymptotic theory is given for iteration of such estimators using a tightness argument. The results apply to stationary as well as non-stationary regression problems.
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