Covariance matrices of S robust regression estimators

Asymptotic properties of robust regression estimators are well known. However, it is not always clear what the best strategy for confidence intervals and hypothesis testing when sample size very large, since distribution residuals coming from estimates has unknown small samples. In present work we propose an analysis various strategies estimating variance-covariance matrix S at variation n p, considering different ρ functions. An adaptive correction proposed. addition to simulation study, example on a benchmark dataset shown.