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Asymptotic properties of robust three-stage procedure based on bootstrap for m-estimator

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  • Hlávka, Zdeněk

Abstract

The paper concerns the fixed-width confidence intervals for location based on M- estimators in the location model. A robust three-stage procedure is proposed and its asymptotic properties are studied. The performance of the procedure depends on some tuning parameters. Their effect on the proposed confidence interval is checked together with the overall behaviour of the procedure in a simulation study.

Suggested Citation

  • Hlávka, Zdeněk, 2000. "Asymptotic properties of robust three-stage procedure based on bootstrap for m-estimator," SFB 373 Discussion Papers 2000,94, Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes.
    • Handle: RePEc:zbw:sfb373:200094
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