Asymptotic normality of <i>r</i> -estimates in the linear model

Abstract

It is shown that the R-estimators of the parameters in a linear model are asymptotically normally distributed under the same conditions on the regressors that are necessary and sufficient for the asymptotic normality of ordinary least squares estimators. The assumptions in JURECKOVA (1971) are essentially weakened, This is done by exploiting and further developping some results of convex analysis