Abstract
In the paper we prove strong consistency of estimators as solution of optimisation problems. The approach of the paper covers non-identifiable models, and models for dependent samples. We provide statements about consistency of M-estimators in regression models with random and with non-random design.
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The research was partially supported by the Deutsche Forschungsgemeinschaft (project number 436TSE113/40) and by the Grant Agency of the Czech Republic under Grant 201/03/1027.
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Lachout, P., Liebscher, E. & Vogel, S. Strong convergence of estimators as ε n -minimisers of optimisation problemsof optimisation problems. Ann Inst Stat Math 57, 291–313 (2005). https://doi.org/10.1007/BF02507027
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DOI: https://doi.org/10.1007/BF02507027