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L_1 regression estimate and its bootstrap

L_1 regression estimate and its bootstrap
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摘要 We study the asymptotic distribution of the L1 regression estimator under general condi-tions with matrix norming and possibly non i.i.d.errors.We then introduce an appropriate bootstrap procedure to estimate the distribution of this estimator and study its asymptotic properties.It is shown that this bootstrap is consistent under suitable conditions and in other situations the bootstrap limit is a random distribution. We study the asymptotic distribution of the L1 regression estimator under general condi-tions with matrix norming and possibly non i.i.d.errors.We then introduce an appropriate bootstrap procedure to estimate the distribution of this estimator and study its asymptotic properties.It is shown that this bootstrap is consistent under suitable conditions and in other situations the bootstrap limit is a random distribution.
作者 BOSE Arup
机构地区 Statistics and Mathematics Unit
出处 《Science China Mathematics》 SCIE 2009年第6期1251-1261,共11页 中国科学：数学（英文版）
基金 supported by J.C. Bose National Fellowship, Government of India
关键词 L<sub>1</sub> regression matrix norming central LIMIT THEOREM ASYMPTOTIC distribution gen-eralized BOOTSTRAP L_1 regression,matrix norming,central limit theorem,asymptotic distribution,gen-eralized bootstrap
分类号 O212.1 [理学—概率论与数理统计]
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参考文献24

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Science China Mathematics
2009年 第6期

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