In this paper, the authors consider an adaptive recursive algorithm by selecting an adaptive sequence for computing M-estimators in multivariate linear regression models. Its asymptotic property is investigated. The r...In this paper, the authors consider an adaptive recursive algorithm by selecting an adaptive sequence for computing M-estimators in multivariate linear regression models. Its asymptotic property is investigated. The recursive algorithm given by Miao and Wu （1996） is modified accordingly. Simu- lation studies of the Mgorithm is also provided. In addition, the Newton-Raphson iterative algorithm is considered for the purpose of comparison.展开更多
基金supported by the National Natural Science Foundation for Young Scientists of China under Grant No.11101397the Natural Sciences and Engineering Research Council of Canada
文摘In this paper, the authors consider an adaptive recursive algorithm by selecting an adaptive sequence for computing M-estimators in multivariate linear regression models. Its asymptotic property is investigated. The recursive algorithm given by Miao and Wu （1996） is modified accordingly. Simu- lation studies of the Mgorithm is also provided. In addition, the Newton-Raphson iterative algorithm is considered for the purpose of comparison.
