Universidad Autónoma de Madrid | Universidad Complutense de Madrid |
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 -estimator, its consistency and asymptotic normality are easily proved.
1991 Mathematics Subject Classification: 62F12.