Arbeitspapier
Asymptotic theory for M-estimators of boundaries
We consider some asymptotic distribution theory for M-estimators of the parameters of a linear model whose errors are non-negative; these estimators are the solutions of constrained optimization problems and their asymptotic theory is non-standard. Under weak conditions on the distribution of the errors and on the design, we show that a large class of estimators have the same asymptotic distributions in the case of i.i.d. errors; however, this invariance does not hold under non-i.i.d. errors.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 373 Discussion Paper ; No. 2003,37
- Klassifikation
-
Wirtschaft
- Thema
-
constrained optimization
epi-convergence
linear programming estimator
M-estimator
point processes
Schätztheorie
Mathematische Optimierung
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Knight, Keith
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (wo)
-
Berlin
- (wann)
-
2003
- Handle
- URN
-
urn:nbn:de:kobv:11-10050491
- Letzte Aktualisierung
-
20.09.2024, 08:22 MESZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Knight, Keith
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Entstanden
- 2003
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