Censored regression models with double exponential error distributionsan iterative estimation procedure based on medians for correcting bias

  1. Anido Hermida, Carmen
  2. Valdés Sánchez, Teófilo
Revista:
Revista matemática complutense

ISSN: 1139-1138,  1988-2807

Any de publicació: 2000

Volum: 13

Número: 1

Pàgines: 137-162

Tipus: Article

DOI: 10.5209/REV_REMA.2000.V13.N1.17094 DIALNET GOOGLE SCHOLAR lock_openAccés obert editor

Altres publicacions en: Revista matemática complutense

Resum

In this paper, we consider a simple iterative estimation procedure for censored regression models with symmetrical exponential error distributions. Although each step requires to impute the censored data with conditional medians, its tractability is guaranteed as well as its convergence at geometrical rate. Finally, as the final estimate coincides with a Huber M-estimator, its consistency and asymptotic normality are easily proved.

Fuente de los datos: Dialnet