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Sonderforschungsbereich 373: Quantification and Simulation of Economic Processes, Humboldt-Universität Berlin >
Discussion Papers, SFB 373, HU Berlin >
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| Title: | | Asymptotic theory for M-estimators of boundaries  |
| Authors: | | Knight, Keith |
| Issue Date: | | 2003 |
| Series/Report no.: | | Discussion papers of interdisciplinary research project 373 2003,37 |
| Abstract: | | We consider some asymptotic distribution theory for M-estimators of the parameters of a linear model whose errors are non-negative; these estimators are the solutions of constrained optimization problems and their asymptotic theory is non-standard. Under weak conditions on the distribution of the errors and on the design, we show that a large class of estimators have the same asymptotic distributions in the case of i.i.d. errors; however, this invariance does not hold under non-i.i.d. errors. |
| Subjects: | | constrained optimization epi-convergence linear programming estimator M-estimator point processes |
| Persistent Identifier of the first edition: | | urn:nbn:de:kobv:11-10050491 |
| Document Type: | | Working Paper |
| Appears in Collections: | | Discussion Papers, SFB 373, HU Berlin
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