Sankhya: The Indian Journal of Statistics

1993, Volume 55, Series B, Pt. 2, 199--218

RECURSIVE ALGORITHM FOR $M$-ESTIMATES OF REGRESSION COEFFICIENTS AND SCATTER PARAMETERS IN LINEAR MODELS

By

Z. D. BAI,

And

Y. H. WU, Temple University and York University

SUMMARY. In this paper, a recursive algorithm for computing the $m$-estimators of regression coefficients and scatter parameters in a general linear models is proposed, and the strong consistency of the estimators is established.

AMS (1980) subject classification. 62F35,62J05

Key words and phrases. Linear regression model, martingale, $M$-estimation, recursive algorithm, regression coefficients, robust estimation, scatter parameters, strong consistency

FULL PAPER.

This article in Mathematical Reviews.