Limiting Distributions of Linear Programming Estimators |
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Authors: | Keith Knight |
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Affiliation: | (1) Department of Statistics, University of Toronto, Toronto, Ontario, M5S 3G3 |
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Abstract: | Smith (1994) proposes estimation in linear regression models with non-negative errors by maximizing the sum of fitted values subject to the constraint that the fitted values can be no larger than the corresponding response value. In this paper, we consider the limiting distribution of these estimators under very general conditions. Some extensions to local polynomial estimation are also considered. |
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Keywords: | epi-convergence extreme value distribution linear programming estimator |
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