Asymptotic properties of a rank estimate in heteroscedastic linear regression

نویسنده

  • Kristi Kuljus
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