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Strong consistency of least squares estimates in linear regression models driven by semimartingales

โœ Scribed by A. Le Breton; M. Musiela


Publisher
Elsevier Science
Year
1987
Tongue
English
Weight
642 KB
Volume
23
Category
Article
ISSN
0047-259X

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Under minimum assumptions on the stochastic regressors, strong consistency of Bayes estimates is established in stochastic regression models in two cases: (1) When the prior distribution is discrete, the p.d.f. f of i.i.d. random errors is assumed to have finite Fisher information I= & ( f $) 2 ร‚f