In this paper, the authors consider an adaptive recursive algorithm by selecting an adaptive sequence for computing M-estimators in multivariate linear regression models. Its asymptotic property is investigated. The r...In this paper, the authors consider an adaptive recursive algorithm by selecting an adaptive sequence for computing M-estimators in multivariate linear regression models. Its asymptotic property is investigated. The recursive algorithm given by Miao and Wu （1996） is modified accordingly. Simu- lation studies of the Mgorithm is also provided. In addition, the Newton-Raphson iterative algorithm is considered for the purpose of comparison.展开更多
An M-estimation of the parameters in an undamped exponential signal model was proposed in Wu and Tam(IEEE Trans Signal Process 49(2):373–380,2001),and the estimation was shown to be consistent under mild assumptions....An M-estimation of the parameters in an undamped exponential signal model was proposed in Wu and Tam(IEEE Trans Signal Process 49(2):373–380,2001),and the estimation was shown to be consistent under mild assumptions.In this paper,the limiting distributions of the M-estimators are investigated.It is shown that they are asymptotically normally distributed under similar conditions as assumed in Wu and Tam(IEEE Trans Signal Process 49(2):373–380,2001).In addition,a recursive algorithm for computing the M-estimators of frequencies is proposed,and the strong consistency of these estimators is established.Monte Carlo simulation studies using Huber’sρfunction are also provided.展开更多
基金supported by the National Natural Science Foundation for Young Scientists of China under Grant No.11101397the Natural Sciences and Engineering Research Council of Canada
文摘In this paper, the authors consider an adaptive recursive algorithm by selecting an adaptive sequence for computing M-estimators in multivariate linear regression models. Its asymptotic property is investigated. The recursive algorithm given by Miao and Wu （1996） is modified accordingly. Simu- lation studies of the Mgorithm is also provided. In addition, the Newton-Raphson iterative algorithm is considered for the purpose of comparison.
文摘An M-estimation of the parameters in an undamped exponential signal model was proposed in Wu and Tam(IEEE Trans Signal Process 49(2):373–380,2001),and the estimation was shown to be consistent under mild assumptions.In this paper,the limiting distributions of the M-estimators are investigated.It is shown that they are asymptotically normally distributed under similar conditions as assumed in Wu and Tam(IEEE Trans Signal Process 49(2):373–380,2001).In addition,a recursive algorithm for computing the M-estimators of frequencies is proposed,and the strong consistency of these estimators is established.Monte Carlo simulation studies using Huber’sρfunction are also provided.
