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L1-estimation in linear models with heterogeneous white noise

✍ Scribed by Faouzi El Bantli; Marc Hallin

Publisher
Elsevier Science
Year
1999
Tongue
English
Weight
118 KB
Volume
45
Category
Article
ISSN
0167-7152

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✦ Synopsis

Necessary and su cient conditions are given for the consistency of the L1-estimator ΓΏ(n) of the regression parameter ΓΏ in linear models with independent but possibly nonidentically distributed errors. The heteroscedastic case is treated as a particular case. The asymptotic normality of ΓΏ(n) is also established, under assumptions which are weaker than in related results on the asymptotics of the sample median in heteroscedastic location models.

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Linear estimation of continuous-discrete
Linear estimation of continuous-discrete linear state space models with multiplicative noise
✍ J.C. Jimenez; T. Ozaki πŸ“‚ Article πŸ“… 2002 πŸ› Elsevier Science 🌐 English βš– 211 KB

This paper deals with the estimation of the state variable of continuous-discrete linear state space models with multiplicative noise. SpeciΓΏcally, the optimal minimum variance linear ΓΏlter for that class of models is constructed. Moreover, the solutions of the di erential equations that describe th