| Moderate Deviations for M-estimators in Linear Models with φ-mixing Errors |
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| 基金项目： | Supported by National Natural Science Foundation of China （Grant Nos. 10871153 and 10971047）Acknowledgements We would like to thank the referees for their valuable comments which improved an earlier version of the paper. We are grateful to Professor Gao Fuqing for his guidance and Professor Liu Guoxin for his helpful suggestions. We also thank Dr. Jiang Hui for useful discussions. |
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| 摘 要： | In this paper, the moderate deviations for the M-estimators of regression parameter in a linear model are obtained when the errors form a strictly stationary φ-mixing sequence. The results are applied to study many different types of M-estimators such as Huber's estimator, Lp-regression estimator, least squares estimator and least absolute deviation estimator.
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| 关 键 词： | M-估计 线性模型 混合序列 中偏差 最小二乘估计 回归参数 回归估计 偏差估计 |
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