M, R and Some Scale Estimators
In the last four decades statistics has seen the emergence and consolidation of many competitors of the Least Square estimator of β of (1.1.1). The most prominent are the so-called M- and R- estimators. The class of M-estimators was introduced by Huber (1973) and its computational aspects and some robustness properties are available in Huber (1981). The class of R-estimators is based on the ideas of Hodges and Lehmann (1963) and has been developed by Adichie (1967), Jurečková (1971) and Jaeckel (1972).
KeywordsLinear Regression Model Asymptotic Distribution Asymptotic Normality Window Width Bootstrap Approximation
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