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

DOI10.1007/S11253-012-0572-XMaRDI QIDQ1759968zbMATH OpenOpenAlexFDO

Authors I. M. Savych, O. V. Ivanov

Publication date 23 November 2012

Published in Ukrainian Mathematical Journal (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11253-012-0572-x

zbMATH Keywords

asymptotic distributionintegral of indicator processKoenker-Bassett estimatorregression function

Mathematics Subject Classification ID

Asymptotic distribution theory in statistics (62E20) Asymptotic properties of parametric estimators (62F12) General nonlinear regression (62J02)

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• On asymptotic distribution of Koenker-Bassett estimator of the parameter of linear regression model with strongly dependent noise
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• Consistency of quantile estimators in regression models with long-range dependent noise
• Consistency of Konker-Bassett estimators in linear regression model

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Cited in

(6)

• Asymptotic expansion of the moments of correlogram estimator for the random-noise covariance function in the nonlinear regression model
• Asymptotic Properties of Koenker–Bassett Estimator in Regression Model with Long-Range Dependence
• On asymptotic distribution of Koenker-Bassett estimator of the parameter of linear regression model with strongly dependent noise
• Asymptotic normality of Koenker-Basset estimates in nonlinear regression models
• Asymptotics of the signed-rank estimator under dependent observations
• Consistency of Konker-Bassett estimators in linear regression model

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