We consider the following linear regression model: where are independent and identically distributed random variables, Yi, is real, Zihas values in Rm, Ui, is independent of Zi, and θ0is anm-dimensional parameter to be estimated. TheLpestimator of θ0is the value 6n such that Here, we will give the exact Bahadur-Kiefer representation of θn, for each p ≥ 1. Explicitly, we will see that, under regularity conditions, where andcis a positive constant, which depends onpand on the random variableX.
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Miguel A. Arcones (1996) studied this question.
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