The Asymptotics of $S$-Estimators in the Linear Regression Model
The Asymptotics of $S$-Estimators in the Linear Regression Model
We consider the consistency and weak convergence of $S$-estimators in the linear regression model. Sufficient conditions for consistency with varying dimension are given which are sufficiently weak to cover, for example, polynomial trends and i.i.d. carriers. A weak convergence theorem for the Hampel-Rousseeuw least median of squares estimator is obtained, …