Asymptotics of estimates in constrained nonlinear regression with long-range dependent innovations
Authors:
Lihong Wang
Affiliation:
(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 (L2-estimates) and the least absolute deviation estimates (L1-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.