Asymptotic properties of 𝑀-estimators of parameters of a nonlinear regression model with a random noise whose spectrum is singular

Ivanov, A.; Orlovskyi, I.

doi:10.1090/tpms/993

Asymptotic properties of $M$-estimators of parameters of a nonlinear regression model with a random noise whose spectrum is singular

Authors: A. V. Ivanov and I. V. Orlovskyi
Translated by: S. Kvasko
Journal: Theor. Probability and Math. Statist. 93 (2016), 33-49
MSC (2010): Primary 62J02; Secondary 62J99
DOI: https://doi.org/10.1090/tpms/993
Published electronically: February 7, 2017
MathSciNet review: 3553438
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Abstract | References | Similar Articles | Additional Information

Abstract: Time continuous nonlinear regression model with a noise being a nonlinearly transformed Gaussian stationary process with a singular spectrum is considered in the paper. Sufficient conditions for the asymptotic normality of the $M$-estimator are found for the vector parameter in this model.

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