Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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Asymptotic Properties of Nonlinear Least Absolute Deviation Estimators

  • Kim, Hae-Kyung (Department of Mathematics, Yonsei University, Seoul 120) ;
  • Park, Seung-Hoe (Department of Mathematics, Yonsei University, Seoul 120)
  • Published : 1995.06.01
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Abstract

This paper is concerned with the asymptotic properties of the least absolute deviation estimators for nonlinear regression models. The simple and practical sufficient conditions for the strong consistency and the asymptotic normality of the least absolute deviation estimators are given. It is confirmed that the extension of these properties to wide class of regression functions can be established by imposing some condition on the input values. A confidence region based on the least absolute deviation estimators is proposed and some desirable asymptotic properties including the asymptotic relative efficiency also discussed for various error distributions. Some examples are given to illustrate the application of main results.

Keywords

References

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