Weak consistency of M-estimator in linear regression model with asymptotically almost negatively associated errors

Yu Zhang, Xinsheng Liu and Hongchang Hu

Communications in Statistics - Theory and Methods, 2020, vol. 49, issue 11, 2800-2816

Abstract: This paper studies a linear regression model with asymptotically almost negatively associated (AANA, in short) random errors. Under some mild conditions, the weak consistency of M-estimator of the unknown parameter is investigated, which extend the corresponding results for independent random errors and negatively associated (NA, in short) random errors. At last, two simulation examples are presented to verify the weak consistency of M-estimator in the model.

Date: 2020
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DOI: 10.1080/03610926.2019.1584307

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