Asymptotic properties of a rank estimate in linear regression with symmetric non-identically distributed errors

Sammanfattning

In this article, a simple linear regression model with independent and symmetric but non-identically distributed errors is considered. Asymptotic properties of the rank regression estimate defined in Jaeckel [Estimating regression coefficients by minimizing the dispersion of the residuals, Ann. Math. Statist. 43 (1972), pp. 1449-1458] are studied. We show that the studied estimator is consistent and asymptotically normally distributed. The cases of bounded and unbounded score functions are examined separately. The regularity conditions of the article are exemplified for finite mixture distributions.

Nyckelord

rank regression; symmetric heteroscedastic errors; linear rank statistics; consistency; asymptotic normality; bounded score functions; unbounded score functions

Publicerad i

Statistics
2013, volym: 47, nummer: 6, sidor: 1160-1183
Utgivare: TAYLOR & FRANCIS LTD

SLU författare

• Kuljus, Kristi

  • Institutionen för skogsekonomi, Sveriges lantbruksuniversitet
    

UKÄ forskningsämne

Sannolikhetsteori och statistik

Publikationens identifierare

• DOI: https://doi.org/10.1080/02331888.2012.688206

Permanent länk till denna sida (URI)

https://res.slu.se/id/publ/56110