Estimator Consistency in a General Setup

Petr Lachout
2016 Austrian Journal of Statistics  
Many problems considered and investigated in statistics follow a general schema. Observed data are generated by a model containing randomness and determined via a collection of parameters. We are interested in future behavior of observed system. Therefore, a convenient estimation procedure for unknown parameters becomes to be the crucial task. This schedule often leads to derivation of an optimization problem that solution is a reasonable estimator of required parameters. We are discussing
more » ... ior of such an estimator with a relatively general background. The setup is illustrated on a linear regression model.
doi:10.17713/ajs.v35i2&3.375 doaj:3622d7aa907b4ad7acbcc383fdb718e3 fatcat:65kja3qvjrd35b2e3sta2gwpym