并联混合回归模型参数的两步<i>M</i>估计及其渐近性质

并联混合回归模型参数的两步M估计及其渐近性质

摘要: 本文在文献的基础上,给出残差为AR(P)序列并联混合回归模型参数的一种稳健估计——两步M估计,并证明了估计的相容性与渐近正态性.

Abstract: In this paper we consider a mixed regression model with dependent errors. We propose a two-stage M-estimates procedure for the unknown parameters of the model. The consistency and asymptotic normality of the estimates are proved on the basis of paper 1.