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Asymptotic Behaviour of M-Estimators in AR(p) Models under Nonstandard Conditions

✍ Scribed by Faouzi El Bantli and Marc Hallin


Book ID
111851040
Publisher
John Wiley and Sons
Year
2001
Tongue
French
Weight
696 KB
Volume
29
Category
Article
ISSN
0319-5724

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M-estimation in linear models under nons
✍ Faouzi El Bantli πŸ“‚ Article πŸ“… 2004 πŸ› Elsevier Science 🌐 English βš– 291 KB

The limiting distribution of M-estimators of the regression parameter in linear models is derived under nonstandard conditions, allowing, e.g., for discontinuities in density functions. Unlike usual regularity assumptions, our conditions are satisΓΏed, for instance, in the case of regression quantile