On Bahadur asymptotic efficiency in a semiparametric regression model

In this paper, the authors consider Bahadur asymptotic efficiency of LS estimators of , which is an unknown parameter vector in the semiparametric regression modelY=X +g(T)+, whereg is an unknown Hölder continuous function, is a random error,X is a random vector inR ^k ,T is a random variable in 0,1],X andT are independent.This work is supported by Probab. Lab., Institute of Applied Mathematics, the Chinese Academy of Sciences.