Volume no :11, Issue no: 1, February

Journal of Pure and Applied Mathematics: Advances and Applications

RATE OF WEAK CONVERGENCE FOR HUBER-DUTTER ESTIMATORS IN A LINEAR MODEL WITH FCA PROCESSES

Author's: Xu Lifeng and Zhang Shaoyi
Pages: [95] - [109]
Received Date: December 16, 2013
Submitted by:

Abstract

Consider the following linear regression model where the error e is a functional coefficient autoregressive (FCA) processes. In this paper, we prove that the Huber-Dutter (HD) estimators for unknown parameters in the above model week converge to the true values with rate

Keywords

linear regression model, functional coefficient autoregressive process, Huber-Dutter estimators, martingale difference.