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Asymptotics of estimates in constrained nonlinear regression with long-range dependent innovations |
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| Authors: | Lihong Wang |
| Institution: | (1) Department of Mathematics, Nanjing University, 210093 Nanjing, China |
| 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. |
| Keywords: | Asymptotic efficient asymptotic property least absolute deviation estimation least squares estimation long-range dependence equality and inequality constraints nonlinear regression |
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