2017
Том 69
№ 9

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On the asymptotic distribution of the Koenker?Bassett estimator for a parameter of the nonlinear model of regression with strongly dependent noise

Ivanov O. V., Savych I. M.

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Abstract

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.

English version (Springer): Ukrainian Mathematical Journal 63 (2011), no. 8, pp 1187-1212.

Citation Example: Ivanov O. V., Savych I. M. On the asymptotic distribution of the Koenker?Bassett estimator for a parameter of the nonlinear model of regression with strongly dependent noise // Ukr. Mat. Zh. - 2011. - 63, № 8. - pp. 1030-1052.

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