Conditions for the pointwise consistency of weighted least squares estimators from multivariate regression models with martingale difference errors are given in terms of the relative rates at which certain quadratic forms diverge to infinity.
Publié le : 1980-09-14
Classification:
62J0S,
Consistency,
least squares,
time series,
martingale,
62M10
@article{1176345142,
author = {Nelson, Paul I.},
title = {A Note on Strong Consistency of Least Squares Estimators in Regression Models with Martingale Difference Errors},
journal = {Ann. Statist.},
volume = {8},
number = {1},
year = {1980},
pages = { 1057-1064},
language = {en},
url = {http://dml.mathdoc.fr/item/1176345142}
}
Nelson, Paul I. A Note on Strong Consistency of Least Squares Estimators in Regression Models with Martingale Difference Errors. Ann. Statist., Tome 8 (1980) no. 1, pp. 1057-1064. http://gdmltest.u-ga.fr/item/1176345142/