On square root of n-consistency and asymptotic normality of consistent estimators in models with independent observations

0411055 - UTIA-B 20030042 RIV DE eng J - Článek v odborném periodiku
Liese, F. - Vajda, Igor
On square root of n-consistency and asymptotic normality of consistent estimators in models with independent observations.
Rostocker Mathematisches Kolloquium. Roč. 57, č. 3 (2003), s. 3-51. ISSN 0138-3248
Grant CEP: GA AV ČR IAA1075101
Výzkumný záměr: CEZ:AV0Z1075907
Klíčová slova: general M-estimators for independent observations * rate of consistency * asymptotic normality
Kód oboru RIV: BB - Aplikovaná statistika, operační výzkum

The paper presents relatively simple verifiable conditions for square root of n-consistency and asymptotic normality of M-estimators of vector parameters in a wide class of statistical models. The conditions are established for the M-estimators with absolutely continuous rho-function of locally bounded variation, and for the class of models including e.g. the linear and the nonlinear regression, the generalized linear models and the proportional hazard models as special cases.
Trvalý link: http://hdl.handle.net/11104/0131142