相依误差下线性回归模型的S-估计

S-estimators in the linear regression model with dependent error terms.

对于线性回归模型:yi=xiTθ0+ei,i=1,2,…,n,当{ei,i=1,2,…,n}为α混合序列时,研究了S-估计的渐近性质。证明了S-估计具有强合性和渐近正态性,并且获得了类似独立同分布情形的方差-协方差结构。

The asymptotic properties of S-estimators in the linear regression model with crmixing error terms are obtained. It turns out that S-estimators are very consistent and asymptotically normal with a similar variance-covariance structure as in the i. i. d. case.