Moment consistency of estimators in partially linear models under NA samples |
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| Authors: | Xingcai Zhou Xinsheng Liu Shuhe Hu |
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| Institution: | (1) Academy of Mathematics and Systems Science, Chinese Academy of Science, Beijing, 100080, China;(2) Department of Statistics and Actuarial Science, The University of Hong Kong, Pokfulam, Hong Kong, China |
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| Abstract: | Consider the heteroscedastic regression model Y
(j)(x
in
, t
in
) = t
in
β + g(x
in
) + σ
in
e
(j)(x
in
), 1 ≤ j ≤ m, 1 ≤ i ≤ n, where sin2=f(uin){\sigma_{in}^{2}=f(u_{in})}, (x
in
, t
in
, u
in
) are fixed design points, β is an unknown parameter, g(·) and f(·) are unknown functions, and the errors {e
(j)(x
in
)} are mean zero NA random variables. The moment consistency for least-squares estimators and weighted least-squares estimators
of β is studied. In addition, the moment consistency for estimators of g(·) and f(·) is investigated. |
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| Keywords: | |
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