Kybernetika 28 no. 6, 454-471, 1992

Adaptive maximum-likelihood-like estimation in linear models. II. Asymptotic normality

Jan Ámos Víšek


An adaptive estimator of regression model coefficients based on maximization of kernel estimate of likelihood was proposed and its consistency proved in the Part 1. Asymptotic normality is shown in the Part 2. An asymptotic representation of the estim ate implies also its asymptotic efficiency.


62F35, 62J05, 62F12, 62G35, 62G07