Cui, Hengjian On asymptotics of t-type regression estimation in multiple linear model. (English) Zbl 1079.62034 Sci. China, Ser. A 47, No. 4, 628-639 (2004). 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. Cited in 11 Documents MSC: 62F12 Asymptotic properties of parametric estimators 62J05 Linear regression; mixed models 62F10 Point estimation Keywords:t-type regression estimator; M-estimator; one-step estimate; consistency; asymptotic normality PDFBibTeX XMLCite \textit{H. Cui}, Sci. China, Ser. A 47, No. 4, 628--639 (2004; Zbl 1079.62034)