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Asymtotics of M-estmation in Non-linear Regression

作者:YingYANG非线性衰退渐近线一致线性残余实验式存在性连续函数概率统计

摘要:Consider the standard non-linear regression model yi = g(xi, θo) +εi, i = 1,..., n where g(x.θ) is a continuous function on a bounded closed region X × О-, θ00 is the unknown parameter vector in О- C R^p, {x1, x2 …… xn} is a deterministic design of experiment and {ε1, ε2 …… εn} is a sequence of independent random variables. Tiffs paper establishes the existences of M-estimates and the asymptotic uniform linearity of M-scores in a family of non-linear regression models when the errors are independent and identically distributed. This result is then used to obtain the asymptotic distribution of a class of M-estimators for a large class of non-linear regression models. At the same time. we point out that Theorem 2 of Wang (1995) (J. of Multivariate Analysis, vol. 54, pp. 227 238,Corrigenda. vol. 55, p. 350) is not correct.

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