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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| Datum: | 2011 |
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| Hauptverfasser: | , , , |
| Format: | Artikel |
| Sprache: | Ukrainisch Englisch |
| Veröffentlicht: |
Institute of Mathematics, NAS of Ukraine
2011
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| Online Zugang: | https://umj.imath.kiev.ua/index.php/umj/article/view/2783 |
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| Назва журналу: | Ukrains’kyi Matematychnyi Zhurnal |
| Завантажити файл: |  |
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Ukrains’kyi Matematychnyi Zhurnal| Zusammenfassung: | 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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