Publication: Bounded Influence Regression in the Presence of Heteroskedasticity of Unknown Form
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1991
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Kluwer
Abstract
In a regression model with conditional heteroskedasticity of unknown form, we propose a general class of M-estimators scaled by nonparametric estimates of the conditional standard deviations of the dependent variable. We give regularity conditions under which these estimators are asymptotically equivalent to M-estimators scaled by the true conditional standard deviations. The practical performance of these estimators is investigated through a Monte Carlo experiment.
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Keywords
Estadística no paramétrica, Estimación de parámetros
Bibliographic citation
Roussas, G.(ed). Nonparametric functional estimation and related topics. Boston: Kluwer Publishers, 1991. p. 297-314