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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

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Ukrainian Mathematical Journal Aims and scope

We prove that, under certain regularity conditions, the asymptotic distribution of the Koenker – Bassett estimator coincides with the asymptotic distribution of the integral of indicator process generated by a random noise weighted by the gradient of the regression function.

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Authors and Affiliations

  1. “KPI” Ukrainian National Technical University, Kyiv, Ukraine

    O. V. Ivanov & I. M. Savych

Authors
  1. O. V. Ivanov
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  2. I. M. Savych
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Translated from Ukrains’kyi Matematychnyi Zhurnal, Vol. 63, No. 8, pp. 1030–1052, August, 2011.

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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 Math J 63, 1187–1212 (2012). https://doi.org/10.1007/s11253-012-0572-x

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  • DOI: https://doi.org/10.1007/s11253-012-0572-x

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