Strong consistency of least-squares estimates in regression models.
A general theorem on the limiting behavior of certain weighted sums of i.i.d. random variables is obtained. This theorem is then applied to prove the strong consistency of least-squares estimates in linear and nonlinear regression models with i.i.d. errors under minimal assumptions on the design and weak moment conditions on the errors.
Lai
T L
TL
Department of Mathematical Statistics, Columbia University, New York, New York 10027.
Robbins
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