The Local Linear M-Estimation with Missing Response Data

Abstract

This paper studies the nonparametric regressive function with missing response data. Three local linear $M$-estimators with the robustness of local linear regression smoothers are presented such that they have the same asymptotic normality and consistency. Then finite-sample performance is examined via simulation studies. Simulations demonstrate that the complete-case data $M$-estimator is not superior to the other two local linear $M$-estimators.