The Annals of Statistics

Limiting distributions for $L\sb 1$ regression estimators under general conditions

Keith Knight

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It is well known that $L_1$-estimators of regression parameters are asymptotically normal if the distribution function has a positive derivative at 0. In this paper, we derive the asymptotic distributions under more general conditions on the behavior of the distribution function near 0.

Article information

Ann. Statist., Volume 26, Number 2 (1998), 755-770.

First available in Project Euclid: 31 July 2002

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Zentralblatt MATH identifier

Primary: 62F12: Asymptotic properties of estimators 60F05: Central limit and other weak theorems
Secondary: 62E20: Asymptotic distribution theory 60F17: Functional limit theorems; invariance principles

$L_1$-estimation linear regression asymptotic distribution


Knight, Keith. Limiting distributions for $L\sb 1$ regression estimators under general conditions. Ann. Statist. 26 (1998), no. 2, 755--770. doi:10.1214/aos/1028144858.

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