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.
- Language
-
Englisch
- Bibliographic citation
-
Series: SFB 373 Discussion Paper ; No. 2003,37
- Classification
-
Wirtschaft
- Subject
-
constrained optimization
epi-convergence
linear programming estimator
M-estimator
point processes
Schätztheorie
Mathematische Optimierung
Theorie
- Event
-
Geistige Schöpfung
- (who)
-
Knight, Keith
- Event
-
Veröffentlichung
- (who)
-
Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
- (where)
-
Berlin
- (when)
-
2003
- Handle
- URN
-
urn:nbn:de:kobv:11-10050491
- Last update
-
20.09.2024, 8:22 AM CEST
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Knight, Keith
- Humboldt University of Berlin, Interdisciplinary Research Project 373: Quantification and Simulation of Economic Processes
Time of origin
- 2003
Other Objects (12)
Asymptotic theory for M-estimators of boundaries
Asymptotic Theory for M-estimators in general autoregressive conditional heteroscedasticity models
The Asymptotic Properties of Burg Estimators
Asymptotic theory for M-estimators in general autoregressive conditional heteroscedastic time series models
Asymptotic theory for ordinary least squares estimators in regression models with forecast feedback
Asymptotic expansions for some semiparametric program evaluation estimators
On uniform asymptotic risk of averaging GMM estimators
Limit Distribution of Convex-Hull Estimators of Boundaries
Characterization of the asymptotic distribution of semiparametric M-estimators
Minimal asymptotic distributions for estimators of panel data models
Statistical estimation : asymptotic theory
Convective and atmospheric boundaries of asymptotic giant branch stars
Asymptotic theory for M-estimators of boundaries
Asymptotic Theory for M-estimators in general autoregressive conditional heteroscedasticity models
The Asymptotic Properties of Burg Estimators
Asymptotic theory for M-estimators in general autoregressive conditional heteroscedastic time series models
Asymptotic theory for ordinary least squares estimators in regression models with forecast feedback
Asymptotic expansions for some semiparametric program evaluation estimators
On uniform asymptotic risk of averaging GMM estimators
Limit Distribution of Convex-Hull Estimators of Boundaries
Characterization of the asymptotic distribution of semiparametric M-estimators
Minimal asymptotic distributions for estimators of panel data models
Statistical estimation : asymptotic theory
Convective and atmospheric boundaries of asymptotic giant branch stars
Asymptotic theory for M-estimators of boundaries
Asymptotic Theory for M-estimators in general autoregressive conditional heteroscedasticity models
The Asymptotic Properties of Burg Estimators
Asymptotic theory for M-estimators in general autoregressive conditional heteroscedastic time series models
Asymptotic theory for ordinary least squares estimators in regression models with forecast feedback
Asymptotic expansions for some semiparametric program evaluation estimators
On uniform asymptotic risk of averaging GMM estimators
Limit Distribution of Convex-Hull Estimators of Boundaries
Characterization of the asymptotic distribution of semiparametric M-estimators
Minimal asymptotic distributions for estimators of panel data models
Statistical estimation : asymptotic theory