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A New Class of Consistent Estimators for Stochastic Linear Regressive Models by Hong-Zhi An; Fred J Hickernell; Li-Xing Zhu is a Mathematics article available to read on EtoBox.

What is A New Class of Consistent Estimators for Stochastic Linear Regressive Models about?

In this paper we propose a new approach for estimating the unknown parameter in the stochastic linear regressive model with stationary ergodic sequence of covariates. Under mild conditions on the joint distribution of the covariate and the error, the estimator constructed is shown to be strongly consistent in two important special cases: (1) The sequence of (variate, covariate) is independent identically distributed (i.i.d.), and (2) the sequence of variates is a stationary autoregressive series. The asymptotical normality is also discussed under more assumptions on the distribution of the covariate.

Who reads A New Class of Consistent Estimators for Stochastic Linear Regressive Models?

Author

Hong-Zhi An; Fred J Hickernell; Li-Xing Zhu

Publisher

Elsevier Science; Elsevier ; Elsevier Inc.; Elsevier BV (ISSN 0047-259X)

Published

1997

Language

EN

Field

Mathematics (Physical Sciences)