Journal of the Korean Statistical Society

The Korean Statistical Society (한국통계학회)
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NONLINEAR ASYMMETRIC LEAST SQUARES ESTIMATORS

  • Park, Seung-Hoe (Department of General Studies, Hankuk Aviation University) ;
  • Kim, Hae-Kyung (Department of Mathematics, Yonsei University) ;
  • Lee, Young (Department of Mathematics, Yonsei University)
  • Published : 2003.03.01
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Abstract

In this paper, we consider the asymptotic properties of asymmetric least squares estimators for nonlinear regression models. This paper provides sufficient conditions for strong consistency and asymptotic normality of the proposed estimators and derives asymptotic relative efficiency of the pro-posed estimators to the regression quantile estimators. We give some examples and results of a Monte Carlo simulation to compare the asymmetric least squares estimators with the regression quantile estimators.

Keywords

References

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