Limiting distributions of linear programming estimators

DOI10.1023/A:1013991808181MaRDI QIDQ1848523zbMATH OpenOpenAlexFDO

Authors Keith Knight

Publication date 21 November 2002

Published in Extremes (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/a:1013991808181

zbMATH Keywords

epi-convergenceextreme value distributionsnon-negative errors

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Nonparametric regression and quantile regression (62G08) Linear regression; mixed models (62J05) Linear programming (90C05)

Review text

A linear regression model \(Y_i=X_i^T\beta+W_i\) (\(i=1,\dots,n\)) is considered, where \(W_i\) are i.i.d. non-negative r.v.s. As an estimator for \(\beta\) the following is used: \[ \hat \beta_n=\arg\max_\phi \left\{\sum_{i=1}^n X_i^T\phi\quad\text{subject to} Y_i\geq X_i^T\phi\quad\forall i=1,\dots,n\right\}. \] The limit distribution of \(c_n(\hat\beta_n-\beta)\) is described as a solution of a linear programming problem with random restrictions. The proof is based on the idea of epi-convergence in distribution. A nonparametric regression model \(Y_i=f(x_i)+W_i\) with locally linear estimators for \(f\) is also discussed.

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• Linear programming-based estimators in simple linear regression
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