BAHADUR ASYMPTOTIC EFFICIENCY FOR PARAMETER ESTIMATE IN MULTIPLE REGRESSION

1. INTRODUCTION Consider the multiple regression model xi=ciβ+ei,i=1,2,…,(1) where c_i=(c_(il),…,c_(ip)), i=1, 2,…are given row vectors; β∈R~p is an unknown parameter vector; e_1, e_2,…are i.i.d. random variables with a common probability density function f(x) with respect to the Lebesgue measure. Let x_1, x_2,…be a sequence of observa-