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The rate of convergence of the least squares estimator in a non-linear regression model with dependent errors

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  • Prakasa Rao, B. L. S.

Abstract

The rate of convergence of the least squares estimator in a non-linear regression model with errors forming either a [phi]-mixing or strong mixing process is obtained. Strong consistency of the least squares estimator is obtained as a corollary.

Suggested Citation

  • Prakasa Rao, B. L. S., 1984. "The rate of convergence of the least squares estimator in a non-linear regression model with dependent errors," Journal of Multivariate Analysis, Elsevier, vol. 14(3), pages 315-322, June.
    • Handle: RePEc:eee:jmvana:v:14:y:1984:i:3:p:315-322
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    Citations

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    Cited by:

    1. Bishwal, J. P. N., 1999. "Large deviations inequalities for the maximum likelihood estimator and the Bayes estimators in nonlinear stochastic differential equations," Statistics & Probability Letters, Elsevier, vol. 43(2), pages 207-215, June.
    2. Haupt, Harry & Oberhofer, Walter, 2009. "On asymptotic normality in nonlinear regression," Statistics & Probability Letters, Elsevier, vol. 79(6), pages 848-849, March.
    3. Abdelrazeq, Ibrahim, 2015. "Model verification for Lévy-driven Ornstein–Uhlenbeck processes with estimated parameters," Statistics & Probability Letters, Elsevier, vol. 104(C), pages 26-35.
    4. Miao, Yu & Tang, Yanyan, 2021. "Large deviation inequalities of LS estimator in nonlinear regression models," Statistics & Probability Letters, Elsevier, vol. 168(C).
    5. Prakasa Rao, B. L. S., 2004. "Estimation of cusp in nonregular nonlinear regression models," Journal of Multivariate Analysis, Elsevier, vol. 88(2), pages 243-251, February.
    6. Yang, Wenzhi & Hu, Shuhe, 2014. "Large deviation for a least squares estimator in a nonlinear regression model," Statistics & Probability Letters, Elsevier, vol. 91(C), pages 135-144.
    7. Shuhe, Hu, 2004. "Consistency for the least squares estimator in nonlinear regression model," Statistics & Probability Letters, Elsevier, vol. 67(2), pages 183-192, April.
    8. Lyubchich, Vyacheslav & Gel, Yulia R., 2016. "A local factor nonparametric test for trend synchronism in multiple time series," Journal of Multivariate Analysis, Elsevier, vol. 150(C), pages 91-104.
    9. Aiting Shen & Yu Zhang & Benqiong Xiao & Andrei Volodin, 2017. "Moment inequalities for m-negatively associated random variables and their applications," Statistical Papers, Springer, vol. 58(3), pages 911-928, September.

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