## Weak $$\sqrt n$$-consistency of the least weighted squares under heteroscedasticity.(English)Zbl 1228.62026

Summary: Weak $$\sqrt{n}$$-consistency of the least weighted squares estimator of the coefficients of a regression model is proved generally under the heteroscedasticity of error terms. The assumptions required for the weak $$\sqrt{n}$$-consistency are briefly discussed. The roots of the heteroscedasticity are also critically considered.

### MSC:

 62F12 Asymptotic properties of parametric estimators 62J05 Linear regression; mixed models 62H12 Estimation in multivariate analysis