Bahadur-Kiefer representations for GM-estimators in linear Markov models with errors in variables

Kamal C. Chanda

Statistics & Probability Letters, 1999, vol. 42, issue 4, 401-408

Abstract: We consider a class of generalized M(GM)-estimators for the autoregressive parameter in a linear Markov model with errors in variables. We show, under some minimal regularity assumptions, that these estimators have almost sure representations of the Bahadur-Kiefer type and consequently they are consistent and asymptotically normal.

Keywords: Errors; in; variables; Linear; Markov; scheme; Almost; sure; convergence; Bahadur-Kiefer; type (search for similar items in EconPapers)
Date: 1999
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