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Keywords:
robust regression; the least trimmed squares; $\sqrt{n}$-consistency; asymptotic normality
robust regression; the least trimmed squares; $\sqrt{n}$-consistency; asymptotic normality
Summary:
$\sqrt{n}$-consistency of the least trimmed squares estimator is proved under general conditions. The proof is based on deriving the asymptotic linearity of normal equations.
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References:
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[5] Víšek J. Á.: Kolmogorov–Smirnov statistics in linear regression. In: Proc. ROBUST 2006, submitted
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