Asymptotic properties of a rank estimate in heteroscedastic linear regression
نویسنده
چکیده
In this paper a simple linear regression model with independent and symmetric, but nonidentically distributed errors is considered. Asymptotic properties of the rank regression estimate defined in Jaeckel (1972) 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.
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تاریخ انتشار 2008