Weak consistency of estimators in linear regres- sion model
Lachout, Petr
Tatra Mountains Mathematical Publications, Tome 51 (2012), / Harvested from Mathematical Institute
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A linear regression model and M-estimator of its regression coecientsare considered in the paper. We present a derivation of a weak consistencyof the M-estimator together with a rate. Derivation is made under generalconditions set on the error term, say "asymptotic stationarity" property.The results are proved by means of L2-convergence and cover the casesas the error term is ARMA, ARCH, GARCH process or it is attractedby an ARMA, ARCH, GARCH process. We do not separate random anddeterministic covariates. Both cases are treated in one general setting.

Publié le : 2012-01-01
DOI : https://doi.org/10.2478/tatra.v51i1.156 
@article{156,
     title = {Weak consistency of estimators in linear regres- sion model},
     journal = {Tatra Mountains Mathematical Publications},
     volume = {51},
     year = {2012},
     doi = {10.2478/tatra.v51i1.156},
     language = {EN},
     url = {http://dml.mathdoc.fr/item/156}
}

Lachout, Petr. Weak consistency of estimators in linear regres- sion model. Tatra Mountains Mathematical Publications, Tome 51 (2012) . doi : 10.2478/tatra.v51i1.156. http://gdmltest.u-ga.fr/item/156/