Abstract
Conditions for the pointwise consistency of weighted least squares estimators from multivariate regression models with martingale difference errors are given in terms of the relative rates at which certain quadratic forms diverge to infinity.
Citation
Paul I. Nelson. "A Note on Strong Consistency of Least Squares Estimators in Regression Models with Martingale Difference Errors." Ann. Statist. 8 (5) 1057 - 1064, September, 1980. https://doi.org/10.1214/aos/1176345142
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