Weak consistency of estimators in linear regression model

In: Tatra Mountains Mathematical Publications, vol. 51, no. 1

Petr Lachout

Detaily:

Rok, strany: 2012, 91 - 100

Kľúčové slová:

linear regression; weak consistency; $L_{2}$-convergence

O článku:

A linear regression model and M-estimator of its regression coefficients are considered in the paper. We present a derivation of a weak consistency of the M-estimator together with a rate. Derivation is made under general conditions set on the error term, say ``asymptotic stationarity'' property. The results are proved by means of $L₂$-convergence and cover the cases as the error term is ARMA, ARCH, GARCH process or it is attracted by an ARMA, ARCH, GARCH process. We do not separate random and deterministic covariates. Both cases are treated in one general setting.

Ako citovať:

ISO 690:

Lachout, P. 2012. Weak consistency of estimators in linear regression model. In Tatra Mountains Mathematical Publications, vol. 51, no.1, pp. 91-100. 1210-3195.

APA:

Lachout, P. (2012). Weak consistency of estimators in linear regression model. Tatra Mountains Mathematical Publications, 51(1), 91-100. 1210-3195.