Local linear M-estimation for spatial processes in fixed-design models

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Publication details

JournalMetrika
DateE-pub ahead of print - 30 Jan 2009
DatePublished (current) - May 2010
Issue number3
Volume71
Number of pages22
Pages (from-to)319-340
Early online date30/01/09
Original languageEnglish

Abstract

We investigate the local linear M-estimation for regression in a fixed-design model when the errors are from a strongly mixing random field. We establish the weak and strong consistency as well as the asymptotic normality of the local linear M-estimator. The conditions on ρ(·) used in this paper are mild and allow many important special cases such as the least square estimator and the least absolute distance estimator.

    Research areas

  • Asymptotic normality, Consistency, Fixed-design model, Local linear M-estimator, Strongly mixing random fields

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