Asymptotic Statistical Properties of Redescending M-estimators in Linear Models with Increasing Dimension

Abstract

This paper deals with the asymptotic statistical properties of a class of redescending M-estimators in linear models with increasing dimension. This class is wide enough to include popular high breakdown point estimators such as S-estimators and MM-estimators, which were not covered by existing results in the literature. We prove consistency assuming only that $p/n\to 0$ and asymptotic normality essentially if $p^3/n\to 0$, where $p$ is the number of covariates and $n$ is the sample size.

32 pages