Abstract
We study the two-step statistical estimates that admit certain expressions of a sufficiently general form. These constructions arise in various statistical models, for instance in regression problems. Under rather weak restrictions we find necessary and sufficient conditions for the normalized difference of a two-step estimate and the unknown parameter to converge weakly to an arbitrary distribution.
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Original Russian Text Copyright © 2011 Linke Yu. Yu.
The author was supported by the Russian Foundation for Basic Research (Grant 11-01-00285).
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Translated from Sibirskiĭ Matematicheskiĭ Zhurnal, Vol. 52, No. 4, pp. 841–860, July–August, 2011.
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Linke, Y.Y. On the asymptotics of distributions of two-step statistical estimates. Sib Math J 52, 665–681 (2011). https://doi.org/10.1134/S0037446611040112
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DOI: https://doi.org/10.1134/S0037446611040112