Asymptotics of the signed-rank estimator under dependent observations

被引：7

作者：

Bindele, Huybrechts F. ^{[1
]}

机构：

[1] Univ S Alabama, Dept Math & Stat, Mobile, AL 36688 USA

来源：

JOURNAL OF STATISTICAL PLANNING AND INFERENCE | 2014年 / 146卷

关键词：

Signed-rank norm; Strong consistency; Asymptotic normality; Stochastic mixing errors; STOCHASTIC REGRESSION-MODELS; LEAST-SQUARES ESTIMATORS; TIME-SERIES REGRESSION; NONLINEAR-REGRESSION; STRONG CONSISTENCY; STATISTICS;

D O I：

10.1016/j.jspi.2013.09.009

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

In this paper, we consider a signed-rank estimator of nonlinear regression coefficients under stochastic errors. These errors include a wide array of applications in economic literature such as serial correlation, heteroscedasticity, autoregression, etc. General conditions for strong consistency and root T-asymptotic normality of the resulting estimator are provided. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：49 / 55

页数：7

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