IDEAS home Printed from https://ideas.repec.org/a/eee/jmvana/v51y1994i2p240-251.html
   My bibliography  Save this article

Limiting Behavior of M-Estimators of Regression-Coefficients in High Dimensional Linear Models II. Scale-Invariant Case

Author

Listed:
  • Bai, Z. D.
  • Wu, Y.

Abstract

Asymptotics of M-estimators of the regression coefficients in linear models (both scale-variant and scale-invariant) when the number of regression coefficients tends to infinity as the sample size increases are investigated. The main purpose of this study is to establish the asymptotic properties under weaker conditions than those usually assumed, especially to relax the restrictions on the order of the dimension. Also, the conditions assumed and the results obtained seem easy to be extended to the multivariate linear models. In the second part of the paper, the asymptotic behavior of the scale-invariant M-estimates is considered.

Suggested Citation

  • Bai, Z. D. & Wu, Y., 1994. "Limiting Behavior of M-Estimators of Regression-Coefficients in High Dimensional Linear Models II. Scale-Invariant Case," Journal of Multivariate Analysis, Elsevier, vol. 51(2), pages 240-251, November.
    • Handle: RePEc:eee:jmvana:v:51:y:1994:i:2:p:240-251
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0047-259X(84)71060-8
    Download Restriction: Full text for ScienceDirect subscribers only
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Yingying Jiang & Fuming Lin & Yong Zhou, 2021. "The kth power expectile regression," Annals of the Institute of Statistical Mathematics, Springer;The Institute of Statistical Mathematics, vol. 73(1), pages 83-113, February.
    2. Miaomiao Wang & Xinyu Zhang & Alan T. K. Wan & Kang You & Guohua Zou, 2023. "Jackknife model averaging for high‐dimensional quantile regression," Biometrics, The International Biometric Society, vol. 79(1), pages 178-189, March.
    3. Kalogridis, Ioannis & Van Aelst, Stefan, 2024. "Robust penalized spline estimation with difference penalties," Econometrics and Statistics, Elsevier, vol. 29(C), pages 169-188.
    4. Ioannis Kalogridis, 2022. "Asymptotics for M-type smoothing splines with non-smooth objective functions," TEST: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer;Sociedad de Estadística e Investigación Operativa, vol. 31(2), pages 373-389, June.
    5. Tang, Linjun & Zhou, Zhangong & Wu, Changchun, 2012. "Weighted composite quantile estimation and variable selection method for censored regression model," Statistics & Probability Letters, Elsevier, vol. 82(3), pages 653-663.
    6. Zhijie Xiao & Roger Koenker, 2009. "Conditional Quantile Estimation for GARCH Models," Boston College Working Papers in Economics 725, Boston College Department of Economics.
    7. He, Xuming & Shao, Qi-Man, 2000. "On Parameters of Increasing Dimensions," Journal of Multivariate Analysis, Elsevier, vol. 73(1), pages 120-135, April.
    8. Ding, Hao & Wang, Zhanfeng & Wu, Yaohua, 2017. "Tobit regression model with parameters of increasing dimensions," Statistics & Probability Letters, Elsevier, vol. 120(C), pages 1-7.
    9. Zhou, Ping & Yu, Zhen & Ma, Jingyi & Tian, Maozai & Fan, Ye, 2021. "Communication-efficient distributed estimator for generalized linear models with a diverging number of covariates," Computational Statistics & Data Analysis, Elsevier, vol. 157(C).

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:jmvana:v:51:y:1994:i:2:p:240-251. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/622892/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.