On the asymptotic distribution of the Koenker?Bassett estimator for a parameter of the nonlinear model of regression with strongly dependent noise
We prove that, under certain regularity conditions, the asymptotic distribution of the Koenker - Bassett estimator coincides with the asymptotic distribution of the integral of the indicator process generated by a random noise weighted by the gradient of the regression function.
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| Date: | 2011 |
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| Main Authors: | , , , |
| Format: | Article |
| Language: | Ukrainian English |
| Published: |
Institute of Mathematics, NAS of Ukraine
2011
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| Online Access: | https://umj.imath.kiev.ua/index.php/umj/article/view/2783 |
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| Journal Title: | Ukrains’kyi Matematychnyi Zhurnal |
| Download file: |  |