On the asymptotic distribution of the Chebyshev estimator in linear regression
نویسنده
چکیده
The Chebyshev or L∞ estimator minimizes the maximum absolute residual and is useful in situations where the error distribution has bounded support. In this paper, we derive the asymptotic distribution of this estimator in cases where the error distribution has bounded and unbounded support. We also consider the asymptotics of set-membership estimators such as the Chebyshev centre and maximum inscribed ellipsoid estimators.
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On the asymptotic distribution of the L∞ estimator in linear regression
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