Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1149677 | Journal of Statistical Planning and Inference | 2009 | 15 Pages |
Abstract
In this paper we are concerned with the regression model yi=xiβ+g(ti)+Vi(1⩽i⩽n) under correlated errors Vi=Ïiei and Vi=âj=-ââcjei-j, where the design points (xi,ti) are known and nonrandom, the slope parameter β and the nonparametric component g are unknown, {ei,Fi} are martingale differences. For the first case, it is assumed that Ïi2=f(ui),ui are known and nonrandom, f is unknown function, we study the issue of asymptotic normality for two different slope estimators: the least squares estimator and the weighted least squares estimator. For the second case, we consider the asymptotic normality of the least squares estimator of β. Also, the asymptotic normality of the nonparametric estimators of g(·) under the two cases are considered.
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Han-Ying Liang, Bing-Yi Jing,