Theory of Probability and Mathematical Statistics
Asymptotic properties of M-estimators of parameters of a nonlinear regression model with a random noise whose spectrum is singular
A. V. Ivanov, I. V. Orlovskyi
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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.
Keywords: Asymptotic uniqueness of an estimator, asymptotic normality, M-estimators, nonlinear regression models, singular spectrum
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