Censored regression models with double exponential error distributionsan iterative estimation procedure based on medians for correcting bias
- Anido Hermida, Carmen
- Valdés Sánchez, Teófilo
ISSN: 1139-1138, 1988-2807
Year of publication: 2000
Volume: 13
Issue: 1
Pages: 137-162
Type: Article
More publications in: Revista matemática complutense
Abstract
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.