Some probability inequalities of least-squares estimator in non linear regression model with strong mixing errors

Wenzhi Yang, Yiwei Wang and Shuhe Hu

Communications in Statistics - Theory and Methods, 2017, vol. 46, issue 1, 165-175

Abstract: In this paper, we investigate the non linear regression model when the errors are strong mixing. Some probabilityinequalities of the least-squares estimator are presented by using moment information of errors. Meanwhile, for some p > 2, two examples are given when errors satisfy supn≥1E|ξn|p=∞$\sup \nolimits _{n\ge 1}E|\xi _n|^p=\infty$ and supn≥1E|ξn|p

Date: 2017
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DOI: 10.1080/03610926.2014.988261

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