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Asymptotics of estimates in constrained nonlinear regression with long-range dependent innovations

  • Regression
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Abstract

The purpose of this paper is to investigate the asymptotic properties of the least squares estimates (L 2-estimates) and the least absolute deviation estimates (L 1-estimates) of the parameters of a nonlinear regression model subject to a set of equality and inequality restrictions, which has a long-range dependent stationary process as its stochastic errors. Then we will compare the asymptotic relative efficiencies of the above estimators.

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Authors and Affiliations

  1. Department of Mathematics, Nanjing University, 210093, Nanjing, China

    Lihong Wang

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  1. Lihong Wang
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Wang, L. Asymptotics of estimates in constrained nonlinear regression with long-range dependent innovations. Ann Inst Stat Math 56, 251–264 (2004). https://doi.org/10.1007/BF02530544

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  • DOI: https://doi.org/10.1007/BF02530544

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