<abstract xmlns="http://www.w3.org/1999/xhtml"><p> A linear regression model and M-estimator of its regression coefficients are considered. We present a derivation of a weak consistency of the M-estimator together with a rate. Derivation is made under general conditions set on the error term, say “asymptotic stationarity” property. The results are proved by means of L2-convergence and cover the cases as the error term is ARMA, ARCH, GARCH process or it is attracted by an ARMA, ARCH, GARCH process. We do not separate random and deterministic covariates. Both cases are treated in one general setting.</p></abstract>

A linear regression model and M-estimator of its regression coefficients are considered. We present a derivation of a weak consistency of the M-estimator together with a rate. Derivation is made under general conditions set on the error term, say “asymptotic stationarity” property. The results are proved by means of L2-convergence and cover the cases as the error term is ARMA, ARCH, GARCH process or it is attracted by an ARMA, ARCH, GARCH process. We do not separate random and deterministic covariates. Both cases are treated in one general setting.

Weak consistency of estimators in linear regression model

Department of Probability and Mathematical Statistics Faculty of Mathematics and Physics Charles University in Prague Sokolovsk´a 83 CZ–186-75 Prague 8 CZECH REPUBLIC

Tatra Mountains Mathematical Publications

{"article-title":"Weak consistency of estimators in linear regression model"}

A linear regression model and M-estimator of its regression coefficients are considered. We present a derivation of a weak consistency of the M-estimator...

Weak consistency of estimators in linear regression model

Publié en ligne: 13 nov. 2012

Pages: 91 - 100

DOI: https://doi.org/10.2478/v10127-012-0010-3

Mots clés
linear regression, weak consistency, L2-convergence.

This content is open access.

Weak consistency of estimators in linear regression model

Publié en ligne: 13 nov. 2012

Pages: 91 - 100

DOI: https://doi.org/10.2478/v10127-012-0010-3

Mots cléslinear regression, weak consistency, L2-convergence.

This content is open access.

Mots clés
linear regression, weak consistency, L2-convergence.