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On asymptotics of t-type regression estimation in multiple linear model. (English) Zbl 1079.62034

Summary: We consider a robust estimator (t-type regression estimator) of multiple linear regression models by maximizing the marginal likelihood of a scaled t-type error t-distribution. The marginal likelihood can also be applied to the decorrelated response when the within-subject correlation can be consistently estimated from an initial estimate of the model based on the independent working assumption. This paper shows that such a t-type estimator is consistent.

MSC:

62F12 Asymptotic properties of parametric estimators
62J05 Linear regression; mixed models
62F10 Point estimation
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