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The least weighted squares I. The asymptotic linearity of normal equations
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SYSNO ASEP 0410954 Document Type J - Journal Article R&D Document Type Journal Article Subsidiary J Ostatní články Title The least weighted squares I. The asymptotic linearity of normal equations Author(s) Víšek, Jan Ámos (UTIA-B) ORCID Source Title Bulletin of the Czech Econometric Society - ISSN 1212-074X
Roč. 9, č. 15 (2002), s. 31-58Number of pages 28 s. Language eng - English Country CZ - Czech Republic Keywords the least weighted squares ; robust regression ; asymptotic normality and representation Subject RIV BA - General Mathematics R&D Projects KSK1019101 GA AV ČR - Academy of Sciences of the Czech Republic (AV ČR) CEZ AV0Z1075907 - UTIA-B Annotation For the least weighted squares we show that normal equations may be asymptotically approximated by a form which is linear in regression parameters. The proof employs Skorohod embedding into Wiener process. The asymptotic linearity of the normal equations allows (it is done in the part II) to derive asymptotic representation of the estimator and its asymptotic normality. Workplace Institute of Information Theory and Automation Contact Markéta Votavová, votavova@utia.cas.cz, Tel.: 266 052 201.
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